Nonlinear filtering of continuous systems: foundational problems and new results
Here Xu extends his earlier work on nonlinear filtering to continuous systems. Consideration is given to the practical consequences (and profound differences) that arise when nonlinear filtering is approached from the Bayesian and the frequentist points of view, and Xu in fact suggests that there may be a fundamental theoretical defect in the usual approach to the nonlinear filtering of continuous systems.
nonlinear stochastic differential equations
scientific article; zbMATH DE number 2130901