Nonlinear filtering of Markov diffusion processes

zbMath0225.62119MaRDI QIDQ2548831

Albert N. Shiryaev, Robert Sh. Liptser

Publication date: 1968

Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Diffusion processes (60J60)

Related Items (4)

Optimal control of linear systems in the case of continuous and discrete observations ⋮ Stochastic Filtering Methods in Electronic Trading ⋮ Supplement to 'A survey of data smoothing' ⋮ Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models

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