Robustness in the theory of nonlinear filtration

DOI10.1007/BF00966613MaRDI QIDQ792000zbMATH OpenOpenAlexFDO

Authors Bronius Grigelionis, R. Mikulevicius

Publication date 1983

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00966613

zbMATH Keywords

robustnesssemimartingale

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Filtering in stochastic control theory (93E11)

Review text

The authors discuss the filtering problem when both the observed process \(\{X_ t\}\), \(t\geq 0\), and the signal process \(\{\odot_ t\}\), \(t\geq 0\), are discontinuous vector valued semimartingales. Under certain conditions, such as the commuting of coefficient vector fields, a robust filter is shown to exist, that is a filter which is continuous on the space of right continuous, left limited sample paths of the observation process when topologized with a certain metric. The paper is an extension to discontinuous processes of work of \textit{M. H. A. Davis}, Z. Wahrscheinlichkeitstheor. Verw. Geb. 54, 125-139 (1980; Zbl 0431.60043), and the reviewer and \textit{M. Kohlmann}, Math. Z. 178, 559-578 (1981; Zbl 0458.60029).

Recommendations

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Cites work

• A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
• Calcul stochastique et problèmes de martingales
• Modeling and approximation of stochastic differential equations driven by semimartingales^†
• On a multiplicative functional transformation arising in nonlinear filtering theory
• On a stopped Doob's inequality and general stochastic equations
• Robust filtering for correlated multidimensional observations

Cited in

(5)

• Robust filtration of random fields
• Robustness of the nonlinear filter: the correlated case.
• Robustesse de la solution des problemes de filtrage avec bruit blanc independant^†
• scientific article; zbMATH DE number 3965109 (Why is no real title available?)
• Robust filtering: correlated noise and multidimensional observation

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