Robustness and convergence of approximations to nonlinear filters for jump-diffusions

MaRDI QIDQ1375892zbMATH OpenFDO

Authors Harold J. Kushner

Publication date 2 January 2001

Published in Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Markov chainweak convergenceMonte Carlo methodsnonlinear filteringjump-diffusion reflected process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10)

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Cited in

(12)

• Convergence of nonlinear filters for randomly perturbed dynamical systems
• Markov chain approximations to filtering equations for reflecting diffusion processes.
• Nonlinear filtering for jump-diffusions
• Lévy backward SDE filter for jump diffusion processes and its applications in material sciences
• A branching particle system approximation for nonlinear stochastic filtering
• A convex optimization approach to filtering in jump linear systems with state dependent transitions
• Robustness in Stochastic Filtering and Maximum Likelihood Estimation for SDEs
• Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises
• On a robust version of the integral representation formula of nonlinear filtering
• Robust approximation in a filtering problem with real state space and counting observations
• Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises
• scientific article; zbMATH DE number 3875109 (Why is no real title available?)

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