Parameter-dependent filtering of Gaussian processes in Hilbert spaces

DOI10.1080/07362994.2022.2080078MaRDI QIDQ6135045zbMATH OpenOpenAlexWikidataFDO

Authors V. Kubelka, B. Maslowski, Ondrej Tybl

Publication date 25 July 2023

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2022.2080078

zbMATH Keywords

Gaussian processesKalman-Bucy filterstochastic evolution equations

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites work

• ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION
• An elementary approach to filtering in systems with fractional Brownian observation noise
• Central limit theorems and minimum-contrast estimators for linear stochastic evolution equations
• Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process
• FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
• Filtering of Gaussian processes in Hilbert spaces
• Infinite-dimensional filtering: The Kalman\3-Bucy filter in Hilbert space
• Interpolation in $L^{p}$ with boundary conditions
• Linear filtering with fractional brownian motion
• Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems
• Linear-quadratic control for stochastic equations in a Hilbert space with fractional Brownian motions
• Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals
• Stochastic differential equations for the non linear filtering problem
• Totally Bounded Sets of Precompact Linear Operators

Cited in

(3)

• Rényi dimension and Gaussian filtering. II.
• Filtering of Gaussian processes in Hilbert spaces
• Filtering of stochastic delayed differential equations in Hilbert spaces

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