Nonlinear filtering of systems governed by Ito differential equations with jump parameters

DOI10.1016/0022-247X(86)90025-9zbMath0599.60052MaRDI QIDQ1080553

Tayel Essawy Dabbous, Nasir Uddin Ahmed

Publication date: 1986

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Girsanov transformation; filtering problem; unnormalized conditional density; Zakai-type equation

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

93E11: Filtering in stochastic control theory

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G35: Signal detection and filtering (aspects of stochastic processes)

Cites Work

• Dynamical equations for optimal nonlinear filtering
• Modelling and on-line control of reliability dynamics of large scale interconnected power systems†
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Non–linear filtering of diffusion processes with discontinuous observations
• Optimal Stochastic Scheduling of Power Generation Systems with Scheduling Delays and Large Cost Differentials
• Stochastic Control on Hilbert Space for Linear Evolution Equations with Random Operator-Valued Coefficients
• Martingales on Jump Processes. II: Applications
• On the optimal filtering of diffusion processes
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