A Bayes formula for nonlinear filtering with Gaussian and Cox noise

DOI10.1155/2011/259091MaRDI QIDQ764410zbMATH OpenOpenAlexWikidataFDO

Authors V. S. Mandrekar, Thilo Meyer-Brandis, F. Proske

Publication date 13 March 2012

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

Copyright license Creative Commons Attribution 4.0 International

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)

Recommendations

• scientific article; zbMATH DE number 5919850
• A Bayes Formula for Gaussian Noise Processes and its Applications
• A deterministic filter for non-Gaussian Bayesian estimation -- Applications to dynamical system estimation with noisy measurements
• Bayes formula for optimal filter with \(n\)-ple Markov Gaussian errors
• Nonlinear filtering. A weighted mean squares approach and a Bayesian one via the maximum entropy principle
• Non-Gaussian Bayesian filtering by density parametrization using power moments
• Adaptive Gaussian Sum Filter for Nonlinear Bayesian Estimation
• Filtering formulae for partially observed linear systems with non-gaussian initial conditions

Cites work

• scientific article; zbMATH DE number 3174873 (Why is no real title available?)
• scientific article; zbMATH DE number 3810621 (Why is no real title available?)
• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 3805396 (Why is no real title available?)
• A Bayes Formula for Gaussian Noise Processes and its Applications
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
• Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance
• Nonlinear filtering for jump-diffusions
• ON THE QUESTION OF ABSOLUTE CONTINUITY AND SINGULARITY OF PROBABILITY MEASURES
• On the optimal filtering of diffusion processes
• Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions
• Theory of Reproducing Kernels

Cited in

(7)

• Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise
• A Bayes Formula for Gaussian Noise Processes and its Applications
• Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
• scientific article; zbMATH DE number 5919850 (Why is no real title available?)
• Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise
• Nonlinear filtering of stochastic differential equations with correlated Lévy noises
• Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes

This page was built for publication: A Bayes formula for nonlinear filtering with Gaussian and Cox noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q764410)