On the Reference Probability Approach to the Equations of Non-Linear Filtering

DOI10.1080/17442508608833421zbMath0607.60035OpenAlexW2086224005MaRDI QIDQ3746591

Ofer Zeitouni, Ben Zion Bobrovsky

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833421

zbMATH Keywords

Feynman-Kac formulaZakai equationsfinite dimensional filters

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites Work

• An extension of the Beneš filter and some identification problems solved by nonlinear filtering methods
• New exact nonlinear filters with large Lie algebras
• Régularité des lois conditionnelles en théorie du filtrage non-linéaire et calcul des variations stochastique
• Existence, uniqueness, and asymptotic behavior of solutions to a class of Zakai equations with unbounded coefficients
• The partial malliavin calculus and its application to non-linear filtering
• Stochastic partial differential equations and filtering of diffusion processes
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• A lower bound on the estimation error for certain diffusion processes
• On the optimal filtering of diffusion processes