Filtering theory for a weakly coloured noise process

DOI10.1007/s12591-020-00553-5zbMath1524.60080arXiv1910.05566OpenAlexW3081840749MaRDI QIDQ6056695

Shambhu N. Sharma, Dhruvi S. Bhatt, Shaival Hemant Nagarsheth

Publication date: 30 October 2023

Published in: Differential Equations and Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.05566

zbMATH Keywords

stochastic differential equationOrnstein-Uhlenbeck processBrownian motion processKushner equationclassical filtering equationsfiltering densitynon-Markovian stochastic system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05)

Cites Work

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• Stratonovich and Ito Stochastic Taylor Expansions
• A Bayes Formula for Gaussian Noise Processes and its Applications
• Filtering of Stochastic Nonlinear Differential Systems via a Carleman Approximation Approach

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