Pathwise Nonlinear Filtering for Nondegenerate Diffusions with Noise Correlation

DOI10.1137/0325016zbMath1300.60056OpenAlexW1986870275MaRDI QIDQ2920961

Michael P. Spathopoulos, Mark H. A. Davis

Publication date: 29 September 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0325016

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes and stochastic analysis on manifolds (58J65)

Related Items (5)

Pathwise Approximations for the Solution of the Non-Linear Filtering Problem ⋮ Robust filtering: correlated noise and multidimensional observation ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ A continuity property for the filter associated to Hilbert-space valued systems ⋮ On a robust version of the integral representation formula of nonlinear filtering

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