A special semimartingale derivation of smoothing and prediction equations

DOI10.1016/0167-6911(85)90081-7zbMath0661.93068OpenAlexW2029632426MaRDI QIDQ1113864

Robert J. Elliott

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1016/0167-6911(85)90081-7

zbMATH Keywords

predictionsmoothingfilteringsemimartingale

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14) Martingales with continuous parameter (60G44)

Related Items (1)

Finite dimensional predictors for hidden Markov chains

Cites Work

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• On Filtering, Interpolation and Extrapolation of Semimartingales
• Équations du filtrage non linéaire de la prédiction et du lissage

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