White noise calculus and nonlinear filtering theory

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

zbMATH Keywords

robustnessconsistencynonlinear filteringlikelihood ratioswhite noisefinitely additive

Mathematics Subject Classification ID

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)

Related Items (11)

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

This page was built for publication: White noise calculus and nonlinear filtering theory