On the optimal filtering of diffusion processes

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Conditional Markov Processes
Dynamical equations for optimal nonlinear filtering
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On a Formula Concerning Stochastic Differentials
On stochastic differential equations
On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering

Cited in

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Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy
Entropy, invertibility and variational calculus of adapted shifts on Wiener space
Nonlinear filtering of semi-Dirichlet processes
Non-linear filtering with discontinuous observations and applications to life sciences
Nonlinear filtering equations for two-parameter semimartingales
New exact nonlinear filters with large Lie algebras
On some finite dimensional nonlinear filters for certain diffusions observed in correlated noise
Nonlinear filtering of systems governed by Ito differential equations with jump parameters
On the joint nonlinear filtering-smoothing of diffusion processes
Filtering of some nonlinear diffusions satisfying the general Beneš condition
Continuous-time approximations for the nonlinear filtering problem
On deformations, approximations and nonlinear filtering
On measure transformations for combined filtering and parameter estimation in discrete time
Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
A general Bayes rule and its application to nonlinear estimation
Finite difference methods for the weak solutions of the Kolmogorov equation for the density of both diffusion and conditional diffusion processes
Reduced stochastic equations of the nonlinear filtering of random processes
An alternative approach to nonlinear filtering
Conception d'algorithmes parallélisables et convergents de filtrage récursif non-linéaire
Un théorème de convergence de schemas numériques à structure parallèle en filtrage recursif non-linéaire
Deterministic feedback linearization, Girsanov transformations and finite-dimensional filters
Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering
Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain
Zakai equation of nonlinear filtering with unbounded coefficients. The case of dependent noises
Recursive estimation of a discrete-time Markov chain
Stochastic partial differential equations in Hölder spaces
A note on estimation algebras on nonlinear filtering theory
Weighted stochastic Sobolev spaces and bilinear SPDEs driven by space-time white noise
Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation
Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering
Nonlinear filtering problem with contamination
Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
Abstract nonlinear filtering theory in the presence of fractional Brownian motion
Reinforcement learning, sequential Monte Carlo and the EM algorithm
Methods of ellipsoidal filtration in nonlinear stochastic systems on manifolds
On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters
Random dynamical systems: addressing uncertainty, nonlinearity and predictability
Real-time simulation of H-P noisy Schrödinger equation and Belavkin filter
A Schauder estimate for stochastic PDEs
Suboptimal linear estimation for continuous-discrete bilinear systems
Belavkin filter for mixture of quadrature and photon counting process with some control techniques
An inverse problem for a class of linear stochastic evolution equations
Three approaches to sequential analysis and one to hidden Markov processes
Robust parameter estimation for stochastic differential equations
The suboptimal method via probabilists' Hermite polynomials to solve nonlinear filtering problems
Fractional generalizations of Zakai equation and some solution methods
On the Cauchy problem for parabolic SPDEs in Hölder classes.
Observation sampling and quantisation for continuous-time estimators.
Piecewise linear filtering with small observation noise
HMM based scenario generation for an investment optimisation problem
Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
Implicit sampling, with application to data assimilation
Reduction of the Zakai equation by invariance group techniques
Schauder-type estimates for higher-order parabolic SPDEs
On the anticipative nonlinear filtering problem and its stability
On stochastic Langevin and Fokker-Planck equations: the two-dimensional case
Data-driven modeling of the temporal evolution of breakers' states in the French electrical transmission grid
A drift homotopy implicit particle filter method for nonlinear filtering problems
Challenges in optimization with complex PDE-systems. Abstracts from the workshop held February 14--20, 2021 (hybrid meeting)
Markov genealogy processes
Kernel learning backward SDE filter for data assimilation
Filtering with degenerate observation noise: a stochastic approximation approach
The Hitchhiker's guide to nonlinear filtering
Stochastic Hölder continuity of random fields governed by a system of stochastic PDEs
Particle filters with nudging in multiscale chaotic systems: with application to the Lorenz '96 atmospheric model
Error covariance bounds for suboptimal filters with Lipschitzian drift and Poisson-sampled measurements
Optimal reduction of public debt under partial observation of the economic growth
An efficient numerical algorithm for solving data driven feedback control problems
Convergence analysis of constraint energy minimizing generalized multiscale finite element method for a linear stochastic parabolic partial differential equation driven by additive noises
A brief and personal history of stochastic partial differential equations
The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
Kusuoka-Stroock gradient bounds for the solution of the filtering equation
RAP-method (random perturbation method) for finding \(S\)-minimax control vectors and parameter estimates for some linear systems with random coefficients
Filtering and change point estimation for hidden Markov-modulated Poisson processes
Generalised particle filters with Gaussian mixtures
Feedback quadratic filtering
Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales
Large deviations for optimal filtering with fractional Brownian motion
On Cauchy-Dirichlet problem for parabolic quasilinear SPDEs
Observer matrix gain optimization for stochastic continuous time nonlinear systems
Uncertainty estimation and prediction for interdisciplinary ocean dynamics
A first order semi-discrete algorithm for backward doubly stochastic differential equations
On the optimal control of partially observed inventory systems
On a robust version of the integral representation formula of nonlinear filtering
On Cauchy-Dirichlet problem in half-space for parabolic SPDEs in weighted Hölder spaces.
Markov chain approximations to filtering equations for reflecting diffusion processes.
Hidden Markov models with threshold effects and their applications to oil price forecasting
A partial history of the early development of continuous-time nonlinear stochastic systems theory
Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
A survey of numerical solutions for stochastic control problems: some recent progress
Splitting-up spectral method for nonlinear filtering problems with correlation noises
A small time approximation for the solution to the Zakai equation
Hessian matrix non-decomposition theorem and its application to nonlinear filtering
General approach to filtering with fractional brownian noises — application to linear systems
Quantum trajectories for squeezed input processes: explicit solutions
Finite-dimensional filter for a class of nonlinear systems with correlated noises
Optimal decision rules for product recalls
Fractional generalizations of filtering problems and their associated fractional Zakai equations
Particle filtering in high-dimensional chaotic systems
Hypoellipticity theorems and conditional laws

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