The Filtering Equations Revisited
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Publication:5374158
DOI10.1007/978-3-319-11292-3_5zbMath1391.60081arXiv1407.6043OpenAlexW2209240626MaRDI QIDQ5374158
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Publication date: 9 April 2018
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.6043
measure valued processesnon-linear filteringKallianpur-Striebel formulachange of probability measure methodKazamaki criterion
Signal detection and filtering (aspects of stochastic processes) (60G35) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Martingales with continuous parameter (60G44)
Related Items
Effective filtering for multiscale stochastic dynamical systems in Hilbert spaces, Backward Nonlinear Smoothing Diffusions
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