White noise theory of robust nonlinear filtering with correlated state and observation noises

DOI10.1016/0167-6911(94)90043-4zbMath0838.93068OpenAlexW2218963353MaRDI QIDQ1333859

Arunabha Bagchi, Rajeeva L. Karandikar

Publication date: 30 May 1996

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

Full work available at URL: https://research.utwente.nl/en/publications/white-noise-theory-of-robust-nonlinear-filtering-with-correlated-state-and-observation-noises(c95cc9c3-e90e-4ac7-b6fb-3216776f2c2b).html

zbMATH Keywords

Markov processwhite noisecorrelated observation noiserobust nonlinear filtering

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) Ordinary differential equations and systems with randomness (34F05)

Related Items (3)

Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric ⋮ Some recent results in finitely additive white noise theory ⋮ Robust filtering: correlated noise and multidimensional observation

Cites Work

• A finitely additive white noise approach to nonlinear filtering
• On a multiplicative functional transformation arising in nonlinear filtering theory
• On Radon-Nikodym derivatives of finitely-additive measures induced by nonlinear transformations on hilbert space
• Une propriete de continuite en filtrage non lineaire
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