Robust filtering: correlated noise and multidimensional observation

DOI10.1214/12-AAP896zbMath1296.60097arXiv1201.1858MaRDI QIDQ373852

Joscha Diehl, Dan Crisan, Peter K. Friz, Harald Oberhauser

Publication date: 25 October 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.1858

zbMATH Keywords

robustnesscorrelated noisesignal detectionrough path theorystochastic filtering problem

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)

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