On extending classical filtering equations

DOI10.1016/J.SPL.2008.06.005MaRDI QIDQ958936zbMATH OpenOpenAlexFDO

Authors Michael A. Kouritzin, Hongwei Long

Publication date 10 December 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.06.005

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites work

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• On the optimal filtering of diffusion processes
• Remarks on the finite energy condition in additive white noise filtering
• Stochastic differential equations for the non linear filtering problem
• Unique characterization of conditional distributions in nonlinear filtering
• White noise calculus and nonlinear filtering theory

Cited in

(3)

• Nonlinear filtering of semi-Dirichlet processes
• On tightness of probability measures on Skorokhod spaces
• On the stochastic differential equations of filtering theory

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