Pathwise nonlinear filtering on abstract Wiener spaces

DOI10.1214/AOP/1176989139MaRDI QIDQ688077zbMATH OpenOpenAlexFDO

Authors Andrew Lyasoff

Publication date 21 July 1994

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176989139

zbMATH Keywords

Zakai equationGirsanov formulafinite energy conditionKallianpur-Striebel formulanonlinear filtering theory on abstract Wiener spaces

Mathematics Subject Classification ID

Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integral equations (60H20)

Recommendations

• scientific article; zbMATH DE number 4095357
• scientific article; zbMATH DE number 1370377
• scientific article; zbMATH DE number 3906370
• scientific article; zbMATH DE number 956695
• On filtering equations in infinite dimensions

Cited in

(2)

• Path continuity of the nonlinear filter
• A mapping result between Wiener theory and Kalman filtering for nonstationary processes

This page was built for publication: Pathwise nonlinear filtering on abstract Wiener spaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q688077)