Convergence in Nonlinear Filtering for Stochastic Delay Systems

DOI10.1137/050646135MaRDI QIDQ3525930zbMATH OpenOpenAlexFDO

Authors Patrick Florchinger, Antonella Calzolari, Giovanna Nappo

Publication date 23 September 2008

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/050646135

zbMATH Keywords

rate of convergencestrong approximationstochastic delay differential equationsconditional laws

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Estimation and detection in stochastic control theory (93E10)

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Cited in

(9)

• Approximation of Nonlinear Filters for Markov Systems with Delayed Observations
• Discrete approximation of nonlinear filtering for stochastic delay equations
• Nonlinear Filtering for Markov Systems with Delayed Observations
• scientific article; zbMATH DE number 2086138 (Why is no real title available?)
• Filtering on nonlinear time-delay stochastic systems
• Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme
• Convergence of nonlinear filters for randomly perturbed dynamical systems
• Discretisation of stochastic control problems for continuous time dynamics with delay
• Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay

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