On extending classical filtering equations

DOI10.1016/j.spl.2008.06.005zbMath1152.60036OpenAlexW2025220456MaRDI QIDQ958936

Michael A. Kouritzin, Hongwei Long

Publication date: 10 December 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.06.005

Mathematics Subject Classification ID

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

Related Items

On tightness of probability measures on Skorokhod spaces, Nonlinear filtering of semi-Dirichlet processes

Cites Work

• Remarks on the finite energy condition in additive white noise filtering
• White noise calculus and nonlinear filtering theory
• Unique characterization of conditional distributions in nonlinear filtering
• Stochastic differential equations for the non linear filtering problem
• On the optimal filtering of diffusion processes
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