New results on the innovations problem for non-linear filtering
From MaRDI portal
Publication:3900754
DOI10.1080/17442508108833170zbMATH Open0453.60046OpenAlexW2004243322MaRDI QIDQ3900754FDOQ3900754
Authors: Deborah F. Allinger, Sanjoy K. Mitter 
Publication date: 1981
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508108833170
Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)
Cites Work
- Title not available (Why is that?)
- Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control
- On Kailath's Innovations Conjecture Hold
- Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
Cited In (12)
- A partial history of the early development of continuous-time nonlinear stochastic systems theory
- The probabilistic structure of controlled diffusion processes
- Average preserving variation processes in view of optimization
- Invertibility of adapted perturbations of the identity on abstract Wiener space
- Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
- Entropy, invertibility and variational calculus of adapted shifts on Wiener space
- Pairs trading under drift uncertainty and risk penalization
- Simultaneous small noise limit for singularly perturbed slow-fast coupled diffusions
- Robust filtering and propagation of uncertainty in hidden Markov models
- On the stochastic differential equations of filtering theory
- Optimal convergence trading with unobservable pricing errors
- Entropic solution of the innovation conjecture of T. Kailath
This page was built for publication: New results on the innovations problem for non-linear filtering
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3900754)
