Filtering With Uncertain Noise

DOI10.1109/TAC.2016.2586585zbMATH Open1364.93796OpenAlexW2469116476MaRDI QIDQ2989593FDOQ2989593

Authors: Robert J. Elliott 

Publication date: 8 June 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2016.2586585

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cited In (6)

• Filtering in Rotated Time-Frequency Domains With Unknown Noise Statistics
• A stochastic control approach to bid-ask price modelling
• Backward stochastic differential equations with regime-switching and sublinear expectations
• Filtering With Heavy Tails
• A filtering problem with uncertainty in observation
• Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations

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