On the filtration problem of diffusion processes

MaRDI QIDQ2899322zbMATH OpenFDO

Authors F. S. Asadullin, F. S. Nasirov

Publication date 30 July 2012

Published in Ufimskiĭ Matematicheskiĭ Zhurnal (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsdiffusion processesfiltration densityoptimal filtration problem

Mathematics Subject Classification ID

Generalized stochastic processes (60G20)

Recommendations

• On an Optimal Filtration Problem for One-Dimensional Diffusion Processes
• scientific article; zbMATH DE number 4061121
• Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part I
• A nonlinear filtering problem and its applications
• A 1-dimensional nonlinear filtering problem

Cited in

(23)

• scientific article; zbMATH DE number 17497 (Why is no real title available?)
• scientific article; zbMATH DE number 4069938 (Why is no real title available?)
• Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part I
• Solution of the singular backward interpolation problem for diffusion processes
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
• Enlargement of Filtration in Discrete Time
• Construction of the innovation process in a filtering problem of partially observable diffusion type
• scientific article; zbMATH DE number 4061124 (Why is no real title available?)
• Non–linear filtering of diffusion processes with discontinuous observations
• scientific article; zbMATH DE number 3179051 (Why is no real title available?)
• Intertwinned diffusions by examples
• scientific article; zbMATH DE number 7318972 (Why is no real title available?)
• scientific article; zbMATH DE number 4050653 (Why is no real title available?)
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
• Nonlinear filtering of reflecting diffusion processes
• On an Optimal Filtration Problem for One-Dimensional Diffusion Processes
• Filtration of components of processes of random evolution
• scientific article; zbMATH DE number 3849110 (Why is no real title available?)
• Filtering of absorbing and reflecting Brownian motions
• On a method for an effective calculation of optimal estimates in problems of a filtration of random processes for certain nonlinear evolution differential equations in a Hilbert space. Part 1
• On the solution of problems of filtration with a limit gradient
• scientific article; zbMATH DE number 1453174 (Why is no real title available?)
• On the joint nonlinear filtering-smoothing of diffusion processes

This page was built for publication: On the filtration problem of diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2899322)