Robustness in the theory of nonlinear filtration

DOI10.1007/BF00966613zbMath0536.60053OpenAlexW2068132639MaRDI QIDQ792000

Remigijus Mikulevičius, Bronius Grigelionis

Publication date: 1983

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00966613

zbMATH Keywords

robustnesssemimartingale

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• Calcul stochastique et problèmes de martingales
• On a stopped Doob's inequality and general stochastic equations
• Robust filtering for correlated multidimensional observations
• A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
• On a multiplicative functional transformation arising in nonlinear filtering theory
• Modeling and approximation of stochastic differential equations driven by semimartingales^†

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