Evolution equations for Markov processes: Application to the white-noise theory of filtering

DOI10.1007/BF01215995zbMath0824.60075OpenAlexW1990913039MaRDI QIDQ1890784

Rajeeva L. Karandikar, Abhay G. Bhatt

Publication date: 22 May 1995

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01215995

zbMATH Keywords

invariant measuresMarkov processZakai equationmeasure-valued filtering equationuniqueness of the solutions to a measure-valued evolution equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Continuous-time Markov processes on general state spaces (60J25) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Transition functions, generators and resolvents (60J35) Foundations of stochastic processes (60G05)

Related Items (2)

On uniqueness of solutions for the stochastic differential equations of nonlinear filtering ⋮ On characterisation of Markov processes via martingale problems

Cites Work

• Unnamed Item
• Calcul stochastique et problèmes de martingales
• Time-average control of martingale problems: Existence of a stationary solution
• White noise calculus and nonlinear filtering theory
• On the Feynman-Kac formula and its applications to filtering theory
• Weak convergence to a Markov process: The martingale approach
• Measure-valued equations for the optimum filter in finitely additive nonlinear filtering theory
• A criterion for invariant measures of markov processes

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