Robustesse de la solution des problemes de filtrage avec bruit blanc independant†

DOI10.1080/17442508408833320zbMATH Open0545.60048OpenAlexW2014794069MaRDI QIDQ3334723FDOQ3334723

Authors: Jean Picard 

Publication date: 1984

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508408833320

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zbMATH Keywords

semi-martingaleKallianpur-Striebel formulaapproximation schemes in filtering of diffusion processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05)

Cites Work

• Title not available (Why is that?)
• Calcul stochastique d�pendant d'un param�tre
• A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
• Probability methods for approximations in stochastic control and for elliptic equations
• Sur l'int�grabilit� uniforme des martingales exponentielles
• Équations du filtrage non linéaire de la prédiction et du lissage
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors

Cited In (7)

• Robust filtering: correlated noise and multidimensional observation
• Observation sampling and quantisation for continuous-time estimators.
• Continuity of the filter with unbounded observation coefficients
• Approximate nonlinear filtering for piecewise linear systems
• Une propriete de continuite en filtrage non lineaire
• Title not available (Why is that?)
• Continuité par rapport a la trajectoire de l'observation du filtre assoclé a des systemes corrélés a coefficients de l'observation non bornés

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