A finitely additive white noise approach to nonlinear filtering

DOI10.1007/BF01448384zbMath0525.93063OpenAlexW2026462166MaRDI QIDQ594830

Gopinath Kallianpur, Rajeeva L. Karandikar

Publication date: 1983

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01448384

zbMATH Keywords

nonlinear filteringfinitely additive probability measuredeterministic Zakai equationwhite noise approach

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Continuous-time Markov processes on general state spaces (60J25) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric, Convergence in distribution of nonmeasurable random elements., White noise theory of robust nonlinear filtering with correlated state and observation noises, Measure-valued equations for the optimum filter in finitely additive nonlinear filtering theory, Approximate and limit results for nonlinear filters with wide bandwith observation noise, Nonlinear smoothing algorithms using white noise model, Robustness of estimators in a finitely additive white noise model, The markov property of the filter in the finitely additive white noise approach to nonlinear filtering^†, Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form, The stochastic filtering problem: a brief historical account, On abstract stochastic bilinear equations with white noise inputs, Some recent developments in nonlinear filtering theory, The nonlinear filtering problem for the unbounded case, Limits for parabolic partial differential equations with wide band stochastic coefficients andan application to filtering theory

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