A finitely additive white noise approach to nonlinear filtering

DOI10.1007/BF01448384zbMath0525.93063MaRDI QIDQ594830

Rajeeva L. Karandikar, Gopinath Kallianpur

Publication date: 1983

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

nonlinear filtering; finitely additive probability measure; deterministic Zakai equation; white noise approach

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

93E11: Filtering in stochastic control theory

60J25: Continuous-time Markov processes on general state spaces

60G35: Signal detection and filtering (aspects of stochastic processes)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

Related Items

Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form, On abstract stochastic bilinear equations with white noise inputs, Some recent developments in nonlinear filtering theory, The nonlinear filtering problem for the unbounded case, White noise theory of robust nonlinear filtering with correlated state and observation noises, Convergence in distribution of nonmeasurable random elements., The markov property of the filter in the finitely additive white noise approach to nonlinear filtering^†, Limits for parabolic partial differential equations with wide band stochastic coefficients andan application to filtering theory, Measure-valued equations for the optimum filter in finitely additive nonlinear filtering theory, Approximate and limit results for nonlinear filters with wide bandwith observation noise, Nonlinear smoothing algorithms using white noise model, Robustness of estimators in a finitely additive white noise model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Radon-Nikodym derivatives of a class of weak distributions on Hilbert spaces
• Stochastic differential equations for the non linear filtering problem
• Tensor Algebras Over Hilbert Spaces. I
• Integration and Nonlinear Transformations In Hilbert Space
• Stochastic partial differential equations and filtering of diffusion processes
• On a multiplicative functional transformation arising in nonlinear filtering theory
• On the optimal filtering of diffusion processes
• Measurable Functions on Hilbert Space
• Stochastic Differential Equations Occurring in the Estimation of Continuous Parameter Stochastic Processes
• Stochastic evolution equations