White noise calculus and nonlinear filtering theory

DOI10.1214/AOP/1176992798zbMATH Open0584.60055OpenAlexW2019314142MaRDI QIDQ1069554FDOQ1069554

Rajeeva L. Karandikar, Gopinath Kallianpur

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)

Cited In (15)

• On extending classical filtering equations
• On the Feynman-Kac formula and its applications to filtering theory
• Evolution equations for Markov processes: Application to the white-noise theory of filtering
• Title not available (Why is that?)
• 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
• Rajeeva Laxman Karandikar: an appreciation
• Stochastic regularization of linear equations and the realization of Gaussian fields
• Nonlinear filtering of reflecting diffusion processes
• Generalised particle filters with Gaussian mixtures
• Filtering with marked point process observations via Poisson chaos expansion
• Spectral estimation of non-stationary white noise
• On linear filtering under dependent white noises
• Smoothness properties of the conditional expectation in finitely additive white noise filtering

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