Robustesse de la solution des problemes de filtrage avec bruit blanc independant†

DOI10.1080/17442508408833320zbMath0545.60048OpenAlexW2014794069MaRDI QIDQ3334723

Jean Picard

Publication date: 1984

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508408833320

zbMATH Keywords

semi-martingaleKallianpur-Striebel formulaapproximation schemes in filtering of diffusion processes

Mathematics Subject Classification ID

Related Items (5)

Observation sampling and quantisation for continuous-time estimators. ⋮ Continuité par rapport a la trajectoire de l'observation du filtre assoclé a des systemes corrélés a coefficients de l'observation non bornés ⋮ Approximate nonlinear filtering for piecewise linear systems ⋮ Continuity of the Filter with Unbounded Observation Coefficients ⋮ Une propriete de continuite en filtrage non lineaire

Cites Work

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• Probability methods for approximations in stochastic control and for elliptic equations
• A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
• Équations du filtrage non linéaire de la prédiction et du lissage
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• [https://portal.mardi4nfdi.de/wiki/Publication:4170005 Calcul stochastique d�pendant d'un param�tre]
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors

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