×

The Markov property of the filter in the finitely additive white noise approach to nonlinear filtering. (English) Zbl 0543.60051

Authors’ abstract: It is shown that the nonlinear filter is a measure- valued Markov process on a finitely additive probability space.
Reviewer: K.Wickwire

MSC:

60G35 Signal detection and filtering (aspects of stochastic processes)
93E11 Filtering in stochastic control theory
60J25 Continuous-time Markov processes on general state spaces
62M20 Inference from stochastic processes and prediction
PDFBibTeX XMLCite
Full Text: DOI

References:

[1] Balakrishnan A. V., Multivariate Analysis (1980)
[2] Kallianpur G., Appl. Math. Optim 10 pp 159– (1983) · Zbl 0525.93063 · doi:10.1007/BF01448384
[3] Kallianpur G., Z. Wahrscheinlichkets theorie Verw. Gebiete 10 (1984)
[4] Kallianpur G., Stochastic Processes and Their Applications 10 (1984)
[5] Kallianpur G., Acta Applicandae Mathematicae 1 pp 399– (1983) · Zbl 0533.60049 · doi:10.1007/BF00120483
[6] Kunita H., J. Multivariate Anal 1 pp 365– (1971) · doi:10.1016/0047-259X(71)90015-7
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.