Pathwise Approximations for the Solution of the Non-Linear Filtering Problem

DOI10.1007/978-3-030-98519-6_4zbMath1503.93044arXiv2101.03957OpenAlexW3118289611MaRDI QIDQ5050080

Alexander Lobbe, Dan Crisan, Salvador Ortiz-Latorre

Publication date: 15 November 2022

Published in: Stochastic Analysis, Filtering, and Stochastic Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.03957

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic integrals (60H05)

Related Items (1)

Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering

Cites Work

• Robust filtering: correlated noise and multidimensional observation
• Fundamentals of stochastic filtering
• A high order time discretization of the solution of the non-linear filtering problem
• On a robust version of the integral representation formula of nonlinear filtering
• Pathwise Nonlinear Filtering for Nondegenerate Diffusions with Noise Correlation
• Nonlinear filtering with counting observations
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