A Stroock Varadhan support theorem in non-linear filtering theory

DOI10.1007/BF01288562zbMath0693.60028OpenAlexW2074432389MaRDI QIDQ908579

Mireille Chaleyat-Maurel, Dominique Michel

Publication date: 1990

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01288562

zbMATH Keywords

filteringstochastic partial differential equationZakai equationStratonovich differential

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (4)

Stochastic partial differential equations with unbounded coefficients and applications. III ⋮ A small time approximation for the solution to the Zakai equation ⋮ The approximation of stochastic partial differential equations and applications in nonlinear filtering ⋮ The Onsager-Machlup functional for a class of anticipating processes

Cites Work

• Probability methods for approximations in stochastic control and for elliptic equations
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