White noise calculus and nonlinear filtering theory

DOI10.1214/AOP/1176992798MaRDI QIDQ1069554zbMATH OpenOpenAlexFDO

Authors Gopinath Kallianpur, Rajeeva L. Karandikar

Publication date 1985

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176992798

zbMATH Keywords

consistencyrobustnesswhite noisenonlinear filteringfinitely additivelikelihood ratios

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Axioms; other general questions in probability (60A05)

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Cited in

(23)

• On extending classical filtering equations
• Linear filtration of the power of a nonstationary, Gaussian white noise
• On the Feynman-Kac formula and its applications to filtering theory
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• Evolution equations for Markov processes: Application to the white-noise theory of filtering
• scientific article; zbMATH DE number 48231 (Why is no real title available?)
• Stochastic Wiener filter in the white noise space
• Some recent developments in nonlinear filtering theory
• White noise in information signal models
• Robustness of estimators in a finitely additive white noise model
• The stochastic filtering problem: a brief historical account
• On the stochastic differential equations of filtering theory
• scientific article; zbMATH DE number 409883 (Why is no real title available?)
• Stochastic regularization of linear equations and the realization of Gaussian fields
• Rajeeva Laxman Karandikar: an appreciation
• Nonlinear filtering of reflecting diffusion processes
• Filtering with marked point process observations via Poisson chaos expansion
• Generalised particle filters with Gaussian mixtures
• Spectral estimation of non-stationary white noise
• On probability distributions for filtered white noise
• On linear filtering under dependent white noises
• Smoothness properties of the conditional expectation in finitely additive white noise filtering
• On the measurement of the ``white noise

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