Factorization of a multiplicative functional of nonlinear filtering theory

DOI10.1016/S0167-6911(81)80012-6zbMath0471.93062MaRDI QIDQ1158129

Mark H. A. Davis

Publication date: 1981

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

zbMATH Keywords

nonlinear filteringBaker-Campbell-Hausdorff formulaHunt processmultiplicative functionalextended generator

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) Diffusion processes (60J60) Multiplicative functionals and Markov processes (60J57) Right processes (60J40)

Cites Work

• Calcul stochastique et problèmes de martingales
• Transformation of Markov processes by multiplicative functionals
• On a multiplicative functional transformation arising in nonlinear filtering theory
• On Square Integrable Martingales
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