Robustness of the nonlinear filter: the correlated case.

DOI10.1016/S0304-4149(01)00121-1MaRDI QIDQ1766038zbMATH OpenOpenAlexFDO

Authors Abhay G. Bhatt, Rajeeva L. Karandikar

Publication date 25 February 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4149(01)00121-1

zbMATH Keywords

robustnessnonlinear filteringcorrelated signal and noisepathwise formulae for stochastic differential equations

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Martingales with continuous parameter (60G44)

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Cites work

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• Robustness of the nonlinear filter
• Semimartingales: A course on stochastic processes
• Time-discretization of the zakai equation for diffusion processes observed in correlated noise
• Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering

Cited in

(15)

• Robust limits of risk sensitive nonlinear filters
• scientific article; zbMATH DE number 431867 (Why is no real title available?)
• Nonlinear filters for linear models (a robust approach)
• A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
• Pathwise nonlinear filtering for nondegenerate diffusions with noise correlation
• Robustness in the theory of nonlinear filtration
• Robustesse de la solution des problemes de filtrage avec bruit blanc independant^†
• Parameter estimation of path-dependent McKean-Vlasov stochastic differential equations
• Une propriete de continuite en filtrage non lineaire
• On robustness of discrete time optimal filters
• Recursive smoothing algorithms for the estimation of signals from uncertain observations via mixture approximations
• Limit theorems of SDEs driven by Lévy processes and application to nonlinear filtering problems
• On the relation between filter maps and correction factors in likelihood ratios
• Robust filtering: correlated noise and multidimensional observation
• Robustness of the nonlinear filter

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