scientific article; zbMATH DE number 3805396

MaRDI QIDQ4749705zbMATH OpenFDO

Authors Bronius Grigelionis

Publication date 1982

zbMATH Keywords

robustnesssemimartingalesnonlinear filtering

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Characterization and structure theory of statistical distributions (62E10) Robustness and adaptive procedures (parametric inference) (62F35) Distribution theory (60E99) Martingales with continuous parameter (60G44) Estimation and detection in stochastic control theory (93E10)

Cited in

(6)

• A comparison principle for stochastic integro-differential equations
• A Bayes formula for nonlinear filtering with Gaussian and Cox noise
• Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions
• Finite difference schemes for linear stochastic integro-differential equations
• Fractional generalizations of Zakai equation and some solution methods
• RAP-method (random perturbation method) for finding \(S\)-minimax control vectors and parameter estimates for some linear systems with random coefficients

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