On uniqueness of solutions for the stochastic differential equations of nonlinear filtering

DOI10.1214/aoap/998926990zbMath1017.60048OpenAlexW2040852580MaRDI QIDQ1872446

Andrew J. Heunis, Vladimir M. Lucic

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/998926990

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44)

Related Items

Nonlinear filtering of partially observed systems arising in singular stochastic optimal control ⋮ Kolmogorov equations on spaces of measures associated to nonlinear filtering processes ⋮ Stochastic filtering under model ambiguity ⋮ Particle filters with random resampling times ⋮ Uniqueness for measure-valued equations of nonlinear filtering for stochastic dynamical systems with Lévy noise ⋮ Superposition principles for the Zakai equations and the Fokker-Planck equations on measure spaces ⋮ Boundary conditions for computing densities in hybrid models via PDE methods

Cites Work

• Unique characterization of conditional distributions in nonlinear filtering
• Martingale problems for conditional distributions of Markov processes
• Evolution equations for Markov processes: Application to the white-noise theory of filtering
• Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering
• On the uniqueness of solutions of stochastic differential equations
• Existence of Markov Controls and Characterization of Optimal Markov Controls
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