Measure Theory and Filtering

DOI10.1017/CBO9780511755330MaRDI QIDQ4828278zbMATH OpenFDO

Authors Robert J. Elliott, Lakhdar Aggoun

Publication date 24 November 2004

zbMATH Keywords

EM algorithmestimationKalman filteringGirsanov theoremstochastic analysis

Mathematics Subject Classification ID

Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Stochastic analysis (60Hxx)

Recommendations

• An introduction to stochastic filtering theory.
• Fundamentals of stochastic filtering
• scientific article; zbMATH DE number 1183256
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• Filtering and prediction: A primer

Cited in

(15)

• Filtering response directions
• An introduction to stochastic filtering theory.
• Optimal estimates for the operating parameters of an information web portal
• Filtered arithmetic mean measure and its applications
• The sound of silence: equilibrium filtering and optimal censoring in financial markets
• Weak convergence of stochastic integrals with respect to the state occupation measure of a Markov chain
• On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
• Measure filters: An extension of Weiner's Theorem
• A filter for a state space model with fractional Gaussian noise
• Backward representation of Markov jump processes and related problems. II. Optimal nonlinear estimation
• Risk-sensitive filtering for nonlinear Markov jump systems on the basis of particle approximation
• Optimization of queuing system via stochastic control
• The mathematics of filtering and its applications
• Risk-sensitive filtering for jump Markov linear systems
• Data-driven modeling of the temporal evolution of breakers' states in the French electrical transmission grid

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