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

DOI10.1080/17442508408833320MaRDI QIDQ3334723zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
• Calcul stochastique d�pendant d'un param�tre
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
• 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

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
• scientific article; zbMATH DE number 3194148 (Why is no real title available?)
• 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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