scientific article; zbMATH DE number 4170806

MaRDI QIDQ3496266zbMATH OpenFDO

Authors Patrick Florchinger

Publication date 1990

zbMATH Keywords

correlated noisesKallianpur-Striebel formulanonlinear filtering problemone dimensional observation processregular density

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

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(14)

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• Zakai equation of nonlinear filtering with unbounded coefficients. The case of dependent noises
• Nonlinear filtering of diffusion processes in correlated noise: Analysis by separation of variables
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• Risk sensitive nonlinear filtering with correlated noises
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• 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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• Nonlinear filtering of stochastic differential equations with correlated Lévy noises
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• Nonlinear filtering with correlated noises in the case of high signal-to-noise ratio

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