Linear filtering with Ornstein-Uhlenbeck process as noise

DOI10.1007/BF02719778zbMath1114.93091MaRDI QIDQ2371221

Abhay G. Bhatt

Publication date: 2 July 2007

Published in: Sādhanā (Search for Journal in Brave)

zbMATH Keywords

Ornstein-Uhlenbeck processlinear filteringoptimal filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Brownian motion (60J65) Stochastic systems in control theory (general) (93E03)

Cites Work

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• Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering
• Stochastic differential equations for the non linear filtering problem
• Characterization of the optimal filter: the non markov case
• A Bayes Formula for Gaussian Noise Processes and its Applications

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