Factorization of a multiplicative functional of nonlinear filtering theory

DOI10.1016/S0167-6911(81)80012-6MaRDI QIDQ1158129zbMATH OpenFDO

Authors Mark H. A. Davis

Publication date 1981

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-6911(81)80012-6

zbMATH Keywords

Baker-Campbell-Hausdorff formulaextended generatorHunt processmultiplicative functionalnonlinear filtering

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Right processes (60J40) Multiplicative functionals and Markov processes (60J57) Diffusion processes (60J60) Filtering in stochastic control theory (93E11)

Cites work

• Calcul stochastique et problèmes de martingales
• scientific article; zbMATH DE number 3807471 (Why is no real title available?)
• scientific article; zbMATH DE number 3215021 (Why is no real title available?)
• scientific article; zbMATH DE number 3227572 (Why is no real title available?)
• On a multiplicative functional transformation arising in nonlinear filtering theory
• On Square Integrable Martingales
• Transformation of Markov processes by multiplicative functionals

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