Remarks on the finite energy condition in additive white noise filtering

DOI10.1016/S0167-6911(84)80103-6MaRDI QIDQ800882zbMATH OpenOpenAlexFDO

Authors Daniel L. Ocone

Publication date 1984

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-6911(84)80103-6

zbMATH Keywords

Zakai equationfinite energy conditionoptimum filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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Cites work

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• Changes of filtrations and of probability measures
• On the optimal filtering of diffusion processes
• Stochastic differential equations for the non linear filtering problem

Cited in

(1)

• On extending classical filtering equations

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