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

zbMATH Open0951.93069MaRDI QIDQ1375892FDOQ1375892

Authors: Harold J. Kushner 

Publication date: 2 January 2001

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

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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)

Cited In (11)

• Nonlinear filtering for jump-diffusions
• Title not available (Why is that?)
• Markov chain approximations to filtering equations for reflecting diffusion processes.
• Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises
• 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 filters for randomly perturbed dynamical systems
• A branching particle system approximation for nonlinear stochastic filtering
• Robust approximation in a filtering problem with real state space and counting observations
• Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises
• On a robust version of the integral representation formula of nonlinear filtering

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