Pathwise nonlinear filtering on abstract Wiener spaces

DOI10.1214/aop/1176989139zbMath0791.60032OpenAlexW2080676438MaRDI QIDQ688077

Ognian B. Enchev

Publication date: 21 July 1994

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176989139

zbMATH Keywords

Girsanov formulaZakai equationfinite energy conditionKallianpur-Striebel formulanonlinear filtering theory on abstract Wiener spaces

Mathematics Subject Classification ID

Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Stochastic integral equations (60H20)

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