scientific article; zbMATH DE number 3788496

MaRDI QIDQ3966020zbMATH OpenFDO

Authors Wolfgang J. Runggaldier, Giovanni Di Masi

Publication date 1982

zbMATH Keywords

finite-dimensional filtersmixed observationsnonlinear filteringrobust approximations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic approximation (62L20) Inference from stochastic processes and prediction (62M20) Sensitivity (robustness) (93B35) Filtering in stochastic control theory (93E11)

Cited in

(5)

• Robustness of the nonlinear filter
• Nonlinear filtering for jump-diffusions
• Markov chain approximations to filtering equations for reflecting diffusion processes.
• Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
• Controlled diffusions under full, partial, and decentralized information: existence of optimal policies and discrete-time approximations

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