Evolution equations for Markov processes: Application to the white-noise theory of filtering

DOI10.1007/BF01215995zbMATH Open0824.60075OpenAlexW1990913039MaRDI QIDQ1890784FDOQ1890784

Authors: Abhay G. Bhatt, Rajeeva L. Karandikar 

Publication date: 22 May 1995

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

Full work available at URL: https://doi.org/10.1007/bf01215995

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zbMATH Keywords

Markov processinvariant measuresZakai equationmeasure-valued filtering equationuniqueness of the solutions to a measure-valued evolution equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Transition functions, generators and resolvents (60J35) Foundations of stochastic processes (60G05)

Cites Work

• Title not available (Why is that?)
• Calcul stochastique et problèmes de martingales
• A criterion for invariant measures of markov processes
• White noise calculus and nonlinear filtering theory
• Time-average control of martingale problems: Existence of a stationary solution
• Measure-valued equations for the optimum filter in finitely additive nonlinear filtering theory
• On the Feynman-Kac formula and its applications to filtering theory
• Weak convergence to a Markov process: The martingale approach

Cited In (4)

• On characterisation of Markov processes via martingale problems
• On uniqueness of solutions for the stochastic differential equations of nonlinear filtering
• Large deviation principles of nonlinear filtering for McKean-Vlasov stochastic differential equations
• Rajeeva Laxman Karandikar: an appreciation

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