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

DOI10.1016/0167-6911(94)90043-4zbMATH Open0838.93068OpenAlexW2218963353MaRDI QIDQ1333859FDOQ1333859

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

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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)

Cites Work

• Title not available (Why is that?)
• On a multiplicative functional transformation arising in nonlinear filtering theory
• A finitely additive white noise approach to nonlinear filtering
• Title not available (Why is that?)
• Title not available (Why is that?)
• On Radon-Nikodym derivatives of finitely-additive measures induced by nonlinear transformations on hilbert space
• Title not available (Why is that?)
• Title not available (Why is that?)
• Une propriete de continuite en filtrage non lineaire
• Title not available (Why is that?)

Cited In (3)

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

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