Robustness of the nonlinear filter: the correlated case.
DOI10.1016/S0304-4149(01)00121-1zbMATH Open1059.60053OpenAlexW1984981523MaRDI QIDQ1766038FDOQ1766038
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
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robustnessnonlinear filteringcorrelated signal and noisepathwise formulae for stochastic differential equations
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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Cited In (15)
- Parameter estimation of path-dependent McKean-Vlasov stochastic differential equations
- 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
- Robust filtering: correlated noise and multidimensional observation
- On robustness of discrete time optimal filters
- Title not available (Why is that?)
- On the relation between filter maps and correction factors in likelihood ratios
- Robust limits of risk sensitive nonlinear filters
- Une propriete de continuite en filtrage non lineaire
- 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
- Nonlinear filters for linear models (a robust approach)
- Robustesse de la solution des problemes de filtrage avec bruit blanc independant†
- Robustness in the theory of nonlinear filtration
- Robustness of the nonlinear filter
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