Nonlinear filtering with signal dependent observation noise

DOI10.1214/EJP.V14-687MaRDI QIDQ1039166zbMATH OpenOpenAlexFDO

Authors Dan Crisan, Michael A. Kouritzin, Jie Xiong

Publication date 20 November 2009

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/230882, http://www.emis.de/journals/EJP-ECP/_ejpecp/viewarticlef727.html

zbMATH Keywords

nonlinear filteringOrnstein Uhlenbeck noisesignal-dependent noise

Mathematics Subject Classification ID

Continuity and singularity of induced measures (60G30) Signal detection and filtering (aspects of stochastic processes) (60G35) Filtering in stochastic control theory (93E11)

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• \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes
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• Innovations informational equivalence for a class of observations with independent non-Gaussian noise
• Optimal control of continuous-time Markov chains with noise-free observation
• Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
• Filtering of continuous-time Markov chains with noise-free observation and applications
• Stochastic maximum principle for hybrid optimal control problems under partial observation
• Linear dynamic filtering with noisy input and output
• The identification of diffusions from imperfect observations
• Pathwise approximations to solving the filtering problem for the stochastic chemostat

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