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

DOI10.1080/17442508608833421zbMATH Open0607.60035OpenAlexW2086224005MaRDI QIDQ3746591FDOQ3746591

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

Recommendations

• scientific article; zbMATH DE number 3849107
• Deterministic and stochastic approaches to nonlinear filtering
• scientific article; zbMATH DE number 5919850
• Stochastic equations of optimal nonlinear filtering of random fields
• scientific article
• Filtering formulae for partially observed linear systems with non-gaussian initial conditions
• Exact formulas for optimal filtering in a nonstationary piecewise-linear problem of parameter estimation
• Nonlinear filtering equations for stochastic processes with jumps
• Pathwise approximations for the solution of the non-linear filtering problem

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)

Cites Work

• On the optimal filtering of diffusion processes
• Stochastic partial differential equations and filtering of diffusion processes
• 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
• The partial malliavin calculus and its application to non-linear filtering
• A lower bound on the estimation error for certain diffusion processes
• Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique
• An extension of the Beneš filter and some identification problems solved by nonlinear filtering methods
• New exact nonlinear filters with large Lie algebras

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
• Title not available (Why is that?)
• On the stochastic differential equations of filtering theory
• Title not available (Why is that?)
• Title not available (Why is that?)
• 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

This page was built for publication: On the Reference Probability Approach to the Equations of Non-Linear Filtering

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3746591)