White noise calculus and nonlinear filtering theory
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Publication:1069554
DOI10.1214/aop/1176992798zbMath0584.60055OpenAlexW2019314142MaRDI QIDQ1069554
Gopinath Kallianpur, Rajeeva L. Karandikar
Publication date: 1985
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176992798
Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Axioms; other general questions in probability (60A05)
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Evolution equations for Markov processes: Application to the white-noise theory of filtering ⋮ On the Feynman-Kac formula and its applications to filtering theory ⋮ Smoothness properties of the conditional expectation in finitely additive white noise filtering ⋮ Filtering with marked point process observations via Poisson chaos expansion ⋮ Robustness of estimators in a finitely additive white noise model ⋮ Stochastic regularization of linear equations and the realization of Gaussian fields ⋮ Nonlinear filtering of reflecting diffusion processes ⋮ On the stochastic differential equations of filtering theory ⋮ On extending classical filtering equations ⋮ The stochastic filtering problem: a brief historical account ⋮ Generalised particle filters with Gaussian mixtures
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