scientific article; zbMATH DE number 4110603

MaRDI QIDQ3833972zbMATH OpenFDO

Authors Mark H. A. Davis

Publication date 1987

zbMATH Keywords

filtered martingale approachnonlinear filteringobservation noisepathwise filteringstochastic differential equationstochastic flowWiener space

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

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Cited in

(13)

• Nonlinear filtering and measure-valued processes
• Methods of ellipsoidal filtration in nonlinear stochastic systems on manifolds
• Nonlinear filters for the generation of smooth trajectories
• On nonlinear filtering problems for discrete time stochastic processes
• Pathwise nonlinear filtering with correlated noise
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• Filtering with Observations on a Riemannian Symmetric Space
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• Nonlinear filtering for observations on a random vector field along a random path. Application to atmospheric turbulent velocities
• McKean--Vlasov SDEs in Nonlinear Filtering
• Wiener chaos and nonlinear filtering

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