Robust filtering for correlated multidimensional observations

DOI10.1007/BF01174775zbMath0458.60029MaRDI QIDQ1151664

Robert J. Elliott, Michael Kohlmann

Publication date: 1981

Published in: Mathematische Zeitschrift (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/173123

zbMATH Keywords

robust filteringconditional distributioncorrelated multidimensional observationsmulti-parameter flow

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (10)

Observation sampling and quantisation for continuous-time estimators. ⋮ Unnamed Item ⋮ Continuité par rapport a la trajectoire de l'observation du filtre assoclé a des systemes corrélés a coefficients de l'observation non bornés ⋮ Robust filtering: correlated noise and multidimensional observation ⋮ Diffusions conditionnelles. I. Hypoellipticité partielle ⋮ Diffusions conditionnelles. II. Générateur conditionel. Application au filtrage ⋮ Continuity of the Filter with Unbounded Observation Coefficients ⋮ Nonlinear Filtering for Markov Systems with Delayed Observations ⋮ Une propriete de continuite en filtrage non lineaire ⋮ Robustness in the theory of nonlinear filtration

Cites Work

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• Densities of a measure-valued process governed by a stochastic partial differential equation
• Cauchy problem for stochastic partial differential equations arizing in nonlinear filtering theory
• On a multiplicative functional transformation arising in nonlinear filtering theory

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