Nonlinear filtering problem and martingale representation

MaRDI QIDQ6492780

Valeriane Jokhadze, Omar Purtukhia, Vakhtang Jaoshvili

Publication date: 26 April 2024

Published in: Reports of Enlarged Sessions of the Seminar of I. Vekua Institute of Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Clark-Ocone formulamartingale representationnonlinear filtering problemGlonti-Purtukhia representationMalliavin (stochastic) derivative

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)

This page was built for publication: Nonlinear filtering problem and martingale representation