Discrete approximation of nonlinear filtering for stochastic delay equations
From MaRDI portal
Publication:3780977
DOI10.1080/07362998708809117zbMath0638.93080OpenAlexW2055784968MaRDI QIDQ3780977
Publication date: 1987
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362998708809117
weak convergencestochastic delay equationsnonlinear filteringEuler-type approximationpartially observable process
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (2)
Discrete Approximations of Controlled Stochastic Systems with Memory: A Survey ⋮ Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Probability methods for approximations in stochastic control and for elliptic equations
- Continuous-time approximations for the nonlinear filtering problem
- On measure transformations for combined filtering and parameter estimation in discrete time
- On the stability of processes defined by stochastic difference- differential equations
- A theorem on duality between estimation and control for linear stochastic systems with time delay
- Optimal control of linear stochastic systems with applications to time lag systems
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
- An approximation for the nonlinear filtering problem, with error bound†
- Filter Stability for Stochastic Evolution Equations
- Estimation and Filter Stability of Stochastic Delay Systems
- An Approach to Discrete-Time Stochastic Control Problems under Partial Observation
- Discrete Approximation of Continuous Time Stochastic Control Systems
- On the optimal filtering of diffusion processes
- Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
This page was built for publication: Discrete approximation of nonlinear filtering for stochastic delay equations