On Continuous Time Ergodic Filters with Wrong Initial Data

DOI10.1137/S0040585X97983535zbMath1191.60053MaRDI QIDQ3556718

Alexander Yu. Veretennikov, Marina Kleptsyna

Publication date: 26 April 2010

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

diffusionrobustnessWiener processMarkov processfilter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Markov processes: estimation; hidden Markov models (62M05) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60)

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