Nonlinear filtering problems. II: Associated equations

MaRDI QIDQ3015740zbMATH OpenFDO

Authors Hiroshi Kunita

Publication date 13 July 2011

zbMATH Keywords

stochastic partial differential equationsobservation processstochastic processes with semimartingale propertyunnormalized conditional expectation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cited in

(20)

• On extending classical filtering equations
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• A class of solvable nonlinear filters
• scientific article; zbMATH DE number 2188841 (Why is no real title available?)
• A Gaussian-generalized inverse Gaussian finite-dimensional filter.
• Adaptive optimal nonlinear filtering and some related problems. II
• A nonlinear filtering problem and its applications
• On pricing and hedging options in regime-switching models with feedback effect
• Lie-trotter product formulas for nonlinear filtering
• Second Order Minimum Energy Filtering on $${\text {SE}}_{3}$$ with Nonlinear Measurement Equations
• Nonlinear semigroups associated with optimal stopping of controlled diffusions under partial observation
• Filtering problems for conditionally linear systems with non-Gaussian initial conditions
• scientific article; zbMATH DE number 3852935 (Why is no real title available?)
• On the stochastic differential equations of filtering theory
• On the stochastic differential equations of filtering theory
• scientific article; zbMATH DE number 4168252 (Why is no real title available?)
• scientific article; zbMATH DE number 3856964 (Why is no real title available?)
• Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients
• Nonlinear filtering equations for stochastic processes with jumps
• The Wiener continuous disorder problem

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