The nonlinear filtering problem for the unbounded case

DOI10.1016/0304-4149(84)90161-3zbMath0571.60055OpenAlexW2094778165MaRDI QIDQ1061415

Gopinath Kallianpur, Rajeeva L. Karandikar

Publication date: 1984

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(84)90161-3

zbMATH Keywords

nonlinear filtering theoryunnormalized conditional densityFeynman-Kac type formulafinitely additive approachfinitely additive version of the Bayes formula

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60)

Related Items (5)

Un théorème d'unicité pour l'equation de zakaï ⋮ Stochastic partial differential equations with unbounded coefficients and applications. III ⋮ Robustness of estimators in a finitely additive white noise model ⋮ Nonlinear filtering of reflecting diffusion processes ⋮ On stochastic partial differential equations with unbounded coefficients

Cites Work

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• A finitely additive white noise approach to nonlinear filtering
• Fundamental solution and Cauchy problem for a parabolic system with unbounded coefficients
• Existence, uniqueness, and asymptotic behavior of solutions to a class of Zakai equations with unbounded coefficients
• Measure-valued equations for the optimum filter in finitely additive nonlinear filtering theory
• Stochastic partial differential equations and filtering of diffusion processes
• Sur le problème de Cauchy et les problèmes de Fourier pour les équations paraboliques dans un domaine non borné
• Uniqueness of positive solutions of parabolic equations with unbounded coefficients

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