On the stochastic differential equations of filtering theory

DOI10.1016/0096-3003(90)90055-8zbMath0709.93068OpenAlexW4254463694MaRDI QIDQ5966360

Andrew J. Heunis

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0096-3003(90)90055-8

zbMATH Keywords

RobustnessZakai equationtime-invariantcontinuous-timeClark's non-stochastic partial differential equationFujisaki-Kallianpur- Kunita or Kushner equationincomplete nonlinear and noisy observation processPardoux's bilinear stochastic partial differential equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Abundant exact soliton solutions of the \((2+1)\)-dimensional Heisenberg ferromagnetic spin chain equation based on the Jacobi elliptic function ideas

Cites Work

• Transformation of local martingales under a change of law
• Dynamical equations for optimal nonlinear filtering
• Stochastic differential equations for the non linear filtering problem
• Stochastic partial differential equations and filtering of diffusion processes
• Équations du filtrage non linéaire de la prédiction et du lissage
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• On the optimal filtering of diffusion processes
• Recent progress in stochastic processes--A survey
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