Nonlinear filtering of systems governed by Ito differential equations with jump parameters

DOI10.1016/0022-247X(86)90025-9zbMath0599.60052OpenAlexW1968706168MaRDI QIDQ1080553

Tayel Essawy Dabbous, Nasir Uddin Ahmed

Publication date: 1986

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(86)90025-9

zbMATH Keywords

Girsanov transformationfiltering problemunnormalized conditional densityZakai-type equation

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) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

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• Optimal Stochastic Scheduling of Power Generation Systems with Scheduling Delays and Large Cost Differentials
• Stochastic Control on Hilbert Space for Linear Evolution Equations with Random Operator-Valued Coefficients
• Martingales on Jump Processes. II: Applications
• On the optimal filtering of diffusion processes

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