Filtering With Uncertain Noise

DOI10.1109/TAC.2016.2586585MaRDI QIDQ2989593zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott

Publication date 8 June 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2016.2586585

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Markov processes: estimation; hidden Markov models (62M05) Filtering in stochastic control theory (93E11)

Cited in

(6)

• Backward stochastic differential equations with regime-switching and sublinear expectations
• A filtering problem with uncertainty in observation
• Filtering in Rotated Time-Frequency Domains With Unknown Noise Statistics
• Filtering With Heavy Tails
• Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations
• A stochastic control approach to bid-ask price modelling

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