Robustness of the nonlinear filter: the correlated case.

DOI10.1016/S0304-4149(01)00121-1zbMath1059.60053OpenAlexW1984981523MaRDI QIDQ1766038

Abhay G. Bhatt, Rajeeva L. Karandikar

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(01)00121-1

zbMATH Keywords

robustnessnonlinear filteringcorrelated signal and noisepathwise formulae for stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Sample path properties (60G17)

Related Items (3)

Parameter estimation of path-dependent McKean-Vlasov stochastic differential equations ⋮ Recursive smoothing algorithms for the estimation of signals from uncertain observations via mixture approximations ⋮ Limit theorems of SDEs driven by Lévy processes and application to nonlinear filtering problems

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• On an Identity for Stochastic Integrals
• Path continuity of the nonlinear filter

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