Robustness in the theory of nonlinear filtration
type: Item
instance of: scholarly article
title: Robustness in the theory of nonlinear filtration
zbMATH Open document ID: 0536.60053
DOI: 10.1007/BF00966613
published in: Lithuanian Mathematical Journal
publication date: 1983-01-01T00:00:00Z
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).
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 93E11
zbMATH DE Number: 3852139
zbMATH Keywords: robustness
zbMATH Keywords: semimartingale
author: Bronius Grigelionis
author: R. Mikulevicius
reviewed by: Robert J. Elliott
MaRDI profile type: MaRDI publication profile
cites work: A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
cites work: On a multiplicative functional transformation arising in nonlinear filtering theory
cites work: Robust filtering for correlated multidimensional observations
cites work: Modeling and approximation of stochastic differential equations driven by semimartingales†
cites work: Calcul stochastique et problèmes de martingales
cites work: On a stopped Doob's inequality and general stochastic equations
full work available at URL: https://doi.org/10.1007/bf00966613
OpenAlex ID: W2068132639
description: scientific article; zbMATH DE number 3852139