Pathwise Nonlinear Filtering for Nondegenerate Diffusions with Noise Correlation
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Publication:2920961
DOI10.1137/0325016zbMath1300.60056OpenAlexW1986870275MaRDI QIDQ2920961
Michael P. Spathopoulos, Mark H. A. Davis
Publication date: 29 September 2014
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0325016
Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes and stochastic analysis on manifolds (58J65)
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Pathwise Approximations for the Solution of the Non-Linear Filtering Problem ⋮ Robust filtering: correlated noise and multidimensional observation ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ A continuity property for the filter associated to Hilbert-space valued systems ⋮ On a robust version of the integral representation formula of nonlinear filtering
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