Filtering of diffusions controlled through their conditional measures†

DOI10.1080/17442508408833308MaRDI QIDQ3327437zbMATH OpenOpenAlexFDO

Authors Ioannis Karatzas, Václav E. Beneš

Publication date 1984

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508408833308

zbMATH Keywords

dependence on observationKallianpur-Striebel formulanoncausal solutions

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Filtering in stochastic control theory (93E11) Stochastic stability in control theory (93E15)

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Cites work

• Ein Fixpunktsatz
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 3236476 (Why is no real title available?)
• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
• scientific article; zbMATH DE number 3195517 (Why is no real title available?)
• Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control
• On the optimal filtering of diffusion processes
• On the Relation of Zakai’s and Mortensen’s Equations
• Stochastic Optimal Control with Noisy Observations †

Cited in

(3)

• Control of a hybrid conditionally linear Gaussian process
• On Extremal Solutions of Controlled Nonlinear Filtering Equations
• Filtering partially observable diffusions up to the exit time from a domain

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