Pathwise nonlinear filtering on abstract Wiener spaces

DOI10.1214/AOP/1176989139zbMATH Open0791.60032OpenAlexW2080676438MaRDI QIDQ688077FDOQ688077

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

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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)

Cited In (2)

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

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