On some finite dimensional nonlinear filters for certain diffusions observed in correlated noise

DOI10.1016/0167-6911(86)90104-0zbMath0593.93061OpenAlexW1966922618MaRDI QIDQ1076659

Ofer Zeitouni

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1016/0167-6911(86)90104-0

zbMATH Keywords

nonlinear filteringfinite-dimensional filtersstate-correlated noisestochastic Feynman-Kač formula

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Diffusion processes (60J60)

Cites Work

• An extension of the Beneš filter and some identification problems solved by nonlinear filtering methods
• Cauchy problem for stochastic partial differential equations arizing in nonlinear filtering theory
• Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique
• Stochastic partial differential equations and filtering of diffusion processes
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• On the optimal filtering of diffusion processes

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