Nonlinear filtering problems. II: Associated equations

zbMATH Open1223.93114MaRDI QIDQ3015740FDOQ3015740

Authors: Hiroshi Kunita 

Publication date: 13 July 2011

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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
• Title not available (Why is that?)
• A class of solvable nonlinear filters
• 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
• Title not available (Why is that?)
• On the stochastic differential equations of filtering theory
• On the stochastic differential equations of filtering theory
• Title not available (Why is that?)
• Title not available (Why is that?)
• 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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