A Bayes formula for nonlinear filtering with Gaussian and Cox noise

DOI10.1155/2011/259091zbMATH Open1234.60041OpenAlexW2080513903WikidataQ58692004 ScholiaQ58692004MaRDI QIDQ764410FDOQ764410

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)

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

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zbMATH Keywords

Gaussian noisenonlinear filterCox noiseMarkovian jump diffusionZakai-type equations

Mathematics Subject Classification ID

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

Cites Work

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• A Bayes Formula for Gaussian Noise Processes and its Applications

Cited In (7)

• A Bayes Formula for Gaussian Noise Processes and its Applications
• Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise
• Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
• Title not available (Why is that?)
• 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

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