A Bayes formula for nonlinear filtering with Gaussian and Cox noise

DOI10.1155/2011/259091zbMath1234.60041OpenAlexW2080513903WikidataQ58692004 ScholiaQ58692004MaRDI QIDQ764410

Thilo Meyer-Brandis, Vidyadhar Mandrekar, Frank Norbert Proske

Publication date: 13 March 2012

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/259091

zbMATH Keywords

Gaussian noisenonlinear filterCox noiseMarkovian jump diffusionZakai-type equations

Mathematics Subject Classification ID

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

Related Items (5)

Nonlinear filtering of stochastic differential equations with correlated Lévy noises ⋮ Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps ⋮ Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise ⋮ Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes ⋮ Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise

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• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
• Theory of Reproducing Kernels

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