White noise theory of robust nonlinear filtering with correlated state and observation noises

DOI10.1016/0167-6911(94)90043-4MaRDI QIDQ1333859zbMATHOpenAlexFDO

Authors Arunabha Bagchi, Rajeeva L. Karandikar

Publication date 30 May 1996

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

Full work available at URL https://research.utwente.nl/en/publications/white-noise-theory-of-robust-nonlinear-filtering-with-correlated-state-and-observation-noises(c95cc9c3-e90e-4ac7-b6fb-3216776f2c2b).html

zbMATH Keywords

Markov processwhite noisecorrelated observation noiserobust nonlinear filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

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• scientific article; zbMATH DE number 3299219 (Why is no real title available?)
• A finitely additive white noise approach to nonlinear filtering
• On Radon-Nikodym derivatives of finitely-additive measures induced by nonlinear transformations on hilbert space
• On a multiplicative functional transformation arising in nonlinear filtering theory
• Une propriete de continuite en filtrage non lineaire

Cited in

(3)

• Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric
• Some recent results in finitely additive white noise theory
• Robust filtering: correlated noise and multidimensional observation

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