On the optimal filtering of diffusion processes
From MaRDI portal
Publication:5548695
DOI10.1007/BF00536382zbMath0164.19201WikidataQ29035795 ScholiaQ29035795MaRDI QIDQ5548695
Publication date: 1969
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)
Related Items
On the Cauchy problem for parabolic SPDEs in Hölder classes. ⋮ On some finite dimensional nonlinear filters for certain diffusions observed in correlated noise ⋮ Reinforcement learning, sequential Monte Carlo and the EM algorithm ⋮ Nonlinear filtering of systems governed by Ito differential equations with jump parameters ⋮ Observation sampling and quantisation for continuous-time estimators. ⋮ Stochastic partial differential equations in Hölder spaces ⋮ A drift homotopy implicit particle filter method for nonlinear filtering problems ⋮ Challenges in optimization with complex PDE-systems. Abstracts from the workshop held February 14--20, 2021 (hybrid meeting) ⋮ Markov genealogy processes ⋮ Kernel learning backward SDE filter for data assimilation ⋮ Piecewise linear filtering with small observation noise ⋮ A note on estimation algebras on nonlinear filtering theory ⋮ Methods of ellipsoidal filtration in nonlinear stochastic systems on manifolds ⋮ Belavkin filtering with squeezed light sources ⋮ Filtering with degenerate observation noise: a stochastic approximation approach ⋮ On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters ⋮ On the joint nonlinear filtering-smoothing of diffusion processes ⋮ Weighted stochastic Sobolev spaces and bilinear SPDEs driven by space-time white noise ⋮ A finitely additive white noise approach to nonlinear filtering ⋮ Filtering of some nonlinear diffusions satisfying the general Beneš condition ⋮ Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation ⋮ Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering ⋮ Nonlinear filtering problem with contamination ⋮ Implicit estimation of ecological model parameters ⋮ The Hitchhiker's guide to nonlinear filtering ⋮ Feedback quadratic filtering ⋮ Stochastic Hölder continuity of random fields governed by a system of stochastic PDEs ⋮ Random dynamical systems: addressing uncertainty, nonlinearity and predictability ⋮ Real-time simulation of H-P noisy Schrödinger equation and Belavkin filter ⋮ Dimensional reduction in nonlinear filtering: a homogenization approach ⋮ HMM based scenario generation for an investment optimisation problem ⋮ Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation ⋮ Continuous-time approximations for the nonlinear filtering problem ⋮ Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises ⋮ Particle filters with nudging in multiscale chaotic systems: with application to the Lorenz '96 atmospheric model ⋮ A Schauder estimate for stochastic PDEs ⋮ Implicit sampling, with application to data assimilation ⋮ Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales ⋮ A Stroock Varadhan support theorem in non-linear filtering theory ⋮ On deformations, approximations and nonlinear filtering ⋮ Error covariance bounds for suboptimal filters with Lipschitzian drift and Poisson-sampled measurements ⋮ Computation of approximate optimal policies in a partially observed inventory model with rain checks ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ On measure transformations for combined filtering and parameter estimation in discrete time ⋮ Model problem for integro-differential Zakai equation with discontinuous observation processes ⋮ Control: a perspective ⋮ An efficient numerical algorithm for solving data driven feedback control problems ⋮ Data assimilation using a GPU accelerated path integral Monte Carlo approach ⋮ Reduction of the Zakai equation by invariance group techniques ⋮ Inventory problems with partially observed demands and lost sales ⋮ Estimation and control for linear, partially observable systems with non- Gaussian initial distribution ⋮ Suboptimal linear estimation for continuous-discrete bilinear systems ⋮ Itô's formula in UMD Banach spaces and regularity of solutions of the Zakai equation ⋮ Convergence analysis of constraint energy minimizing generalized multiscale finite element method for a linear stochastic parabolic partial differential equation driven by additive noises ⋮ A brief and personal history of stochastic partial differential equations ⋮ On \(L_p\)-theory for stochastic parabolic integro-differential equations ⋮ Belavkin filter for mixture of quadrature and photon counting process with some control techniques ⋮ The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness ⋮ On extending classical filtering equations ⋮ An inverse problem for a class of linear stochastic evolution equations ⋮ Three approaches to sequential analysis and one to hidden Markov processes ⋮ Kusuoka-Stroock gradient bounds for the solution of the filtering equation ⋮ A general Bayes rule and its application to nonlinear estimation ⋮ Robust parameter estimation for stochastic differential equations ⋮ Finite difference methods for the weak solutions of the Kolmogorov equation for the density of both diffusion and conditional diffusion processes ⋮ Schauder-type estimates for higher-order parabolic SPDEs ⋮ Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form ⋮ Reduced stochastic equations of the nonlinear filtering of random processes ⋮ RAP-method (random perturbation method) for finding \(S\)-minimax control vectors and parameter estimates for some linear systems with random coefficients ⋮ On the Cauchy-Dirichlet problem in the half space for parabolic sPDEs in weighted Hölder spaces ⋮ An alternative approach to nonlinear filtering ⋮ Conception d'algorithmes parallélisables et convergents de filtrage récursif non-linéaire ⋮ The suboptimal method via probabilists' Hermite polynomials to solve nonlinear filtering problems ⋮ On Hölder solutions of the integro-differential Zakai equation ⋮ Un théorème de convergence de schemas numériques à structure parallèle en filtrage recursif non-linéaire ⋮ Fractional generalizations of Zakai equation and some solution methods ⋮ On the anticipative nonlinear filtering problem and its stability ⋮ Deterministic feedback linearization, Girsanov transformations and finite-dimensional filters ⋮ Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy ⋮ On stochastic Langevin and Fokker-Planck equations: the two-dimensional case ⋮ A Bayes formula for nonlinear filtering with Gaussian and Cox noise ⋮ Invertibility of adapted perturbations of the identity on abstract Wiener space ⋮ Entropy, invertibility and variational calculus of adapted shifts on Wiener space ⋮ Nonlinear filtering of semi-Dirichlet processes ⋮ Abstract nonlinear filtering theory in the presence of fractional Brownian motion ⋮ Data-driven modeling of the temporal evolution of breakers' states in the French electrical transmission grid ⋮ Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering ⋮ Non-linear filtering with discontinuous observations and applications to life sciences ⋮ Some recent developments in nonlinear filtering theory ⋮ Nonlinear filtering equations for two-parameter semimartingales ⋮ New exact nonlinear filters with large Lie algebras ⋮ Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain ⋮ Remarks on the finite energy condition in additive white noise filtering ⋮ An extension of the Beneš filter and some identification problems solved by nonlinear filtering methods ⋮ Filtering and change point estimation for hidden Markov-modulated Poisson processes ⋮ Generalised particle filters with Gaussian mixtures ⋮ Zakai equation of nonlinear filtering with unbounded coefficients. The case of dependent noises ⋮ Further results on asset pricing with incomplete information ⋮ A first order semi-discrete algorithm for backward doubly stochastic differential equations ⋮ Recursive estimation of a discrete-time Markov chain ⋮ Log-Concave Posterior Densities Arising in Continuous Filtering and a Maximum A Posteriori Algorithm ⋮ Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method ⋮ Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information ⋮ Structure of finite dimensional exact estimation algebra on state dimension 3 and linear rank 2* ⋮ Hybrid stochastic epidemic SIR models with hidden states ⋮ Stochastic filtering under model ambiguity ⋮ Explicit Forward Recursive Estimators for Markov Modulated Markov Processes ⋮ Hidden Markov models with threshold effects and their applications to oil price forecasting ⋮ A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ Robust stochastic maximum principle for multi-model worst case optimization ⋮ Nonlinear Filtering of Stochastic Navier-Stokes Equation with Itô-Lévy Noise ⋮ Measure-valued equations for the optimum filter in finitely additive nonlinear filtering theory ⋮ Applications of Quantum Stochastic Processes in Quantum Optics ⋮ Exact Finite-Dimensional Filter for Exponential Functionals of the State of Beneš Systems ⋮ On an Optimal Filtration Problem for One-Dimensional Diffusion Processes ⋮ Optimal Decision Rules for Product Recalls ⋮ Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM ⋮ A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing ⋮ Unnamed Item ⋮ Unnamed Item ⋮ On the Reference Probability Approach to the Equations of Non-Linear Filtering ⋮ Optional decomposition of optional supermartingales and applications to filtering and finance ⋮ Fractional generalizations of filtering problems and their associated fractional Zakai equations ⋮ Particle filtering in high-dimensional chaotic systems ⋮ Valuing guaranteed minimum accumulation benefits by a change of numéraire approach ⋮ Direct method for Yau filtering system with nonlinear observations ⋮ A survey of numerical solutions for stochastic control problems: some recent progress ⋮ Splitting-up spectral method for nonlinear filtering problems with correlation noises ⋮ Novel Girsanov correction based Milstein schemes for analysis of nonlinear multi-dimensional stochastic dynamical systems ⋮ Splitting scheme for backward doubly stochastic differential equations ⋮ An efficient Monte Carlo scheme for Zakai equations ⋮ An energy-based deep splitting method for the nonlinear filtering problem ⋮ Adaptive Meshfree Backward SDE Filter ⋮ Mortensen observer for a class of variational inequalities – lost equivalence with stochastic filtering approaches ⋮ Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises ⋮ A small time approximation for the solution to the Zakai equation ⋮ Discrete approximation of nonlinear filtering for stochastic delay equations ⋮ Hessian matrix non-decomposition theorem and its application to nonlinear filtering ⋮ Semi-discretization of stochastic partial differential equations on rdby a Finite-element Technique A. Germani ⋮ The Filtering Equations Revisited ⋮ General approach to filtering with fractional brownian noises — application to linear systems ⋮ Approximation d'tun filtre avec observation sur une variete compacte ⋮ Large deviations for optimal filtering with fractional Brownian motion ⋮ Mitter conjecture for low dimensional estimation algebras in non-linear filtering† ⋮ Stochastic Filtering Methods in Electronic Trading ⋮ An existence theorem and some properties of maximum a posteriori estimators of trajectories of diffusions ⋮ A PROBLEM IN STOCHASTIC AVERAGING OF NONLINEAR FILTERS ⋮ Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection ⋮ Unnamed Item ⋮ Unnamed Item ⋮ CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS ⋮ On the Cauchy problem for stochastic parabolic equations in Hölder spaces ⋮ The novel classes of finite dimensional filters with non-maximal rank estimation algebra on state dimension four and rank of one ⋮ Unnamed Item ⋮ A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems ⋮ On the stochastic differential equations of filtering theory ⋮ Kalman filter and quantization ⋮ Optimal inventory control with shrinkage and observed sales ⋮ Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences ⋮ Probability maximizing approach to a detection problem with continuous markov processes ⋮ Non–linear filtering of diffusion processes with discontinuous observations ⋮ Filtering of diffusions controlled through their conditional measures† ⋮ Adaptive boundary concentration control using Zakai equation ⋮ Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions ⋮ A First Order Scheme for Backward Doubly Stochastic Differential Equations ⋮ Approximate McKean–Vlasov representations for a class of SPDEs ⋮ Almost sure convergence of a semidiscrete Milstein scheme for SPDEs of Zakai type ⋮ Hypoellipticity theorems and conditional laws ⋮ Smoothing algorithms for nonlinear finite-dimensional systems ⋮ An approach to Ito linear equations in Hilbert spaces by approximation of white noise with coloured noise ⋮ Complete classification of finite-dimensional estimation algebras of maximal rank ⋮ Stochastic partial differential equations and filtering of diffusion processes ⋮ Nonlinear Filtering with Fractional Brownian Motion Noise ⋮ Changes of filtrations and of probability measures ⋮ On Cauchy-Dirichlet problem for parabolic quasilinear SPDEs ⋮ Observer matrix gain optimization for stochastic continuous time nonlinear systems ⋮ On a multiplicative functional transformation arising in nonlinear filtering theory ⋮ Uncertainty estimation and prediction for interdisciplinary ocean dynamics ⋮ Quantum Trajectories for Squeezed Input Processes: Explicit Solutions ⋮ Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes ⋮ Bayesian Filtering in Spiking Neural Networks: Noise, Adaptation, and Multisensory Integration ⋮ Équations du filtrage pour un processus de poisson mélangé á deux indices ⋮ Finite-dimensional filter for a class of nonlinear systems with correlated noises ⋮ On the stochastic differential equations of filtering theory ⋮ Nonlinear Filtering for Markov Systems with Delayed Observations ⋮ OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES ⋮ Exact finite-dimensional filters for certain diffusions with nonlinear drift ⋮ An asymptotically efficient difference formula for solving stochastic differential equations ⋮ Estimation of indirectly observable Langevin states: path integral solution using statistical physics methods ⋮ Data informed solution estimation for forward-backward stochastic differential equations ⋮ A maximum a posteriori estimator for trajectories of diffusion processes ⋮ A maximum a posteriori estimator for trajectories of diffusion processes ⋮ The stochastic filtering problem: a brief historical account ⋮ OPTIMAL CREDIT ALLOCATION UNDER REGIME UNCERTAINTY WITH SENSITIVITY ANALYSIS ⋮ Filltering of a partially observed process in the case of a high signal –to–noise ratio for correlated systems ⋮ On the optimal control of partially observed inventory systems ⋮ On a robust version of the integral representation formula of nonlinear filtering ⋮ Separation principle for impulse control with partial information ⋮ Backward Nonlinear Smoothing Diffusions ⋮ Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise ⋮ On Cauchy-Dirichlet problem in half-space for parabolic SPDEs in weighted Hölder spaces. ⋮ Markov chain approximations to filtering equations for reflecting diffusion processes. ⋮ On lie algebras and finite dimensional filtering ⋮ Equazioni differenziali lineari stocastiche negli spazi di Hilbert ⋮ Équations du filtrage non linéaire de la prédiction et du lissage
Cites Work
- Dynamical equations for optimal nonlinear filtering
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
- Conditional Markov Processes
- Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
- On a Formula Concerning Stochastic Differentials
- On stochastic differential equations
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item