On the Reference Probability Approach to the Equations of Non-Linear Filtering

DOI10.1080/17442508608833421MaRDI QIDQ3746591zbMATH OpenOpenAlexFDO

Authors Ofer Zeitouni, B. Z. Bobrovsky

Publication date 1986

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508608833421

zbMATH Keywords

Feynman-Kac formulaZakai equationsfinite dimensional filters

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites work

• A lower bound on the estimation error for certain diffusion processes
• An extension of the Beneš filter and some identification problems solved by nonlinear filtering methods
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Existence, uniqueness, and asymptotic behavior of solutions to a class of Zakai equations with unbounded coefficients
• New exact nonlinear filters with large Lie algebras
• On the optimal filtering of diffusion processes
• Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique
• Stochastic partial differential equations and filtering of diffusion processes
• The partial malliavin calculus and its application to non-linear filtering

Cited in

(10)

• Filtering of some nonlinear diffusions satisfying the general Beneš condition
• Deterministic feedback linearization, Girsanov transformations and finite-dimensional filters
• The filtering equations revisited
• scientific article; zbMATH DE number 5919850 (Why is no real title available?)
• On the stochastic differential equations of filtering theory
• scientific article; zbMATH DE number 1207168 (Why is no real title available?)
• scientific article; zbMATH DE number 3890461 (Why is no real title available?)
• A Zakai equation derivation of the extended Kalman filter
• Kyle-Back equilibrium models and linear conditional mean-field SDEs
• Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain

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