The identification of diffusions from imperfect observations

DOI10.1007/S00440-025-01454-WMaRDI QIDQ7253721zbMATH OpenFDO

Authors J. M. C. Clark, Dan Crisan

Publication date 27 May 2026

Published in Probability Theory and Related Fields (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S00440-025-01454-W

zbMATH Keywords

diffusionsfine topologyimperfect observations

Mathematics Subject Classification ID

Fine potential theory; fine properties of sets and functions (31C40) Prediction theory (aspects of stochastic processes) (60G25) Diffusion processes (60J60) Inference from stochastic processes and prediction (62M20)

Cites work

• A remark on Markovian germ fields
• Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part I
• Finely holomorphic functions
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• Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
• Nonlinear filtering with signal dependent observation noise
• Piecewise Monotone Filtering with Small Observation Noise

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