Characterization of the optimal filter: the non markov case

DOI10.1080/17442509908834193zbMath0934.60039OpenAlexW1983517445WikidataQ126242685 ScholiaQ126242685MaRDI QIDQ4257056

Rajeeva L. Karandikar, Abhay G. Bhatt

Publication date: 3 August 1999

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509908834193

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Stochastic systems and control (93E99) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Transition functions, generators and resolvents (60J35)

Related Items (3)

Linear filtering with Ornstein-Uhlenbeck process as noise ⋮ Robustness of the nonlinear filter: the correlated case. ⋮ On characterisation of Markov processes via martingale problems

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