scientific article; zbMATH DE number 17496

MaRDI QIDQ3974818zbMATH OpenFDO

Authors Bernard Deylon, Ofer Zeitouni

Publication date 26 June 1992

zbMATH Keywords

conditional densitynonlinear filtering

Mathematics Subject Classification ID

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

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Cited in

(10)

• Exponential stability in discrete-time filtering for non-ergodic signal.
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Microstructure models with short-term inertia and stochastic volatility
• Stability of the nonlinear filter for slowly switching Markov chains
• On asymptotic stability of continuous-time risk-sensitive filters with respect to initial conditions
• Observability and nonlinear filtering
• Stability of the filter with Poisson observations
• An ergodic theorem for filtering with applications to stability
• Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain
• Exponential stability of discrete-time filters for bounded observation noise

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