New results on the innovations problem for non-linear filtering

DOI10.1080/17442508108833170zbMath0453.60046OpenAlexW2004243322MaRDI QIDQ3900754

Deborah F. Allinger, Sanjoy K. Mitter

Publication date: 1981

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508108833170

zbMATH Keywords

innovation processinnovation problem

Mathematics Subject Classification ID

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

Related Items (12)

Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading ⋮ A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ The probabilistic structure of controlled diffusion processes ⋮ PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION ⋮ Average preserving variation processes in view of optimization ⋮ Entropic solution of the innovation conjecture of T. Kailath ⋮ Optimal convergence trading with unobservable pricing errors ⋮ On the stochastic differential equations of filtering theory ⋮ Simultaneous small noise limit for singularly perturbed slow-fast coupled diffusions ⋮ Robust filtering and propagation of uncertainty in hidden Markov models ⋮ Invertibility of adapted perturbations of the identity on abstract Wiener space ⋮ Entropy, invertibility and variational calculus of adapted shifts on Wiener space

Cites Work

• Unnamed Item
• Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control
• On Kailath's Innovations Conjecture Hold
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors

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