scientific article; zbMATH DE number 3807471

zbMATH Open0511.93063MaRDI QIDQ4750503FDOQ4750503

Authors: Mark H. A. Davis 

Publication date: 1981

Title of this publication is not available (Why is that?)

zbMATH Keywords

nonlinear filteringconditional probability densityindependent signal and noise processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Sample path properties (60G17) Estimation and detection in stochastic control theory (93E10)

Cited In (15)

• Zakai equation of nonlinear filtering with unbounded coefficients. The case of dependent noises
• Robust filtering: correlated noise and multidimensional observation
• White noise theory of robust nonlinear filtering with correlated state and observation noises
• Densities of a measure-valued process governed by a stochastic partial differential equation
• Application of nonlinear filtering to credit risk
• Factorization of a multiplicative functional of nonlinear filtering theory
• On the stochastic differential equations of filtering theory
• Hypoellipticity theorems and conditional laws
• Continuité par rapport a la trajectoire de l'observation du filtre assoclé a des systemes corrélés a coefficients de l'observation non bornés
• Robust parameter estimation for asset price models with Markov modulated volatilities
• Monte Carlo methods for backward equations in nonlinear filtering
• A continuity property for the filter associated to Hilbert-space valued systems
• Title not available (Why is that?)
• On a robust version of the integral representation formula of nonlinear filtering
• Evolution semigroups and Hamiltonian flows

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