Robust filtering for correlated multidimensional observations

DOI10.1007/BF01174775MaRDI QIDQ1151664zbMATH OpenFDO

Authors Robert J. Elliott, Michael Kohlmann

Publication date 1981

Published in Mathematische Zeitschrift (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/173123

zbMATH Keywords

conditional distributioncorrelated multidimensional observationsmulti-parameter flowrobust filtering

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Filtering in stochastic control theory (93E11)

Cites work

• Cauchy problem for stochastic partial differential equations arizing in nonlinear filtering theory
• Densities of a measure-valued process governed by a stochastic partial differential equation
• scientific article; zbMATH DE number 3684633 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 3304501 (Why is no real title available?)
• scientific article; zbMATH DE number 3381577 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• On a multiplicative functional transformation arising in nonlinear filtering theory

Cited in

(10)

• Diffusions conditionnelles. I. Hypoellipticité partielle
• Diffusions conditionnelles. II. Générateur conditionel. Application au filtrage
• Observation sampling and quantisation for continuous-time estimators.
• scientific article; zbMATH DE number 3850185 (Why is no real title available?)
• Nonlinear Filtering for Markov Systems with Delayed Observations
• Continuité par rapport a la trajectoire de l'observation du filtre assoclé a des systemes corrélés a coefficients de l'observation non bornés
• Robust filtering: correlated noise and multidimensional observation
• Une propriete de continuite en filtrage non lineaire
• Continuity of the filter with unbounded observation coefficients
• Robustness in the theory of nonlinear filtration

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