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The robust equation approach to multidimensional stochastic nonlinear filtering

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Probability Theory on Vector Spaces III

Part of the book series: Lecture Notes in Mathematics ((LNM,volume 1080))

Abstract

The existence and uniqueness problems for the pathwise Duncan-Mortensen-Zakai equation of nonlinear filtering are studied following the Robust Equation approach. It is shown here that several examples that include the Kalman-Bucy filtering case can be treated by means of a theorem that solves the Cauchy problem for the Robust Equation.

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Author information

Authors and Affiliations

  1. Department of Mathematics, Louisiana State University, 70803, Baton Rouge, LA, U.S.A.

    Guillermo S. Ferreyra

Authors
  1. Guillermo S. Ferreyra
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Dominik Szynal Aleksander Weron

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© 1984 Springer-Verlag

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Ferreyra, G.S. (1984). The robust equation approach to multidimensional stochastic nonlinear filtering. In: Szynal, D., Weron, A. (eds) Probability Theory on Vector Spaces III. Lecture Notes in Mathematics, vol 1080. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0099784

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  • DOI: https://doi.org/10.1007/BFb0099784

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-13388-9

  • Online ISBN: 978-3-540-38939-2

  • eBook Packages: Springer Book Archive

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