Continuité par rapport a la trajectoire de l'observation du filtre assoclé a des systemes corrélés a coefficients de l'observation non bornés

DOI10.1080/17442508908833582MaRDI QIDQ3469969zbMATH OpenOpenAlexFDO

Authors Patrick Florchinger

Publication date 1989

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508908833582

zbMATH Keywords

stochastic differential equationunbounded coefficientsfiltering problemKallianpur-Striebel formula

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)

Recommendations

• Continuity of the filter with unbounded observation coefficients
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• Publication:3496266
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Cites work

• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3807471 (Why is no real title available?)
• Diffusions conditionnelles. I. Hypoellipticité partielle
• On the gap between deterministic and stochastic ordinary differential equations
• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes
• Robust filtering for correlated multidimensional observations
• Robustesse de la solution des problemes de filtrage avec bruit blanc independant^†

Cited in

(4)

• Zakai equation of nonlinear filtering with unbounded coefficients. The case of dependent noises
• Continuity of the filter with unbounded observation coefficients
• A continuity property for the filter associated to Hilbert-space valued systems
• Malliavin calculus with time dependent coefficients and application to nonlinear filtering

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