Remarks on the finite energy condition in additive white noise filtering

DOI10.1016/S0167-6911(84)80103-6zbMath0551.93069OpenAlexW2074603548MaRDI QIDQ800882

Daniel L. Ocone

Publication date: 1984

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(84)80103-6

zbMATH Keywords

Zakai equationfinite energy conditionoptimum filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (1)

On extending classical filtering equations

Cites Work

• Stochastic differential equations for the non linear filtering problem
• Changes of filtrations and of probability measures
• On the optimal filtering of diffusion processes
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Remarks on the finite energy condition in additive white noise filtering