White Noise Calculus and Nonlinear Filtering Theory

G. Kallianpur; R. L. Karandikar

doi:10.1214/aop/1176992798

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Home > Journals > Ann. Probab. > Volume 13 > Issue 4 > Article

November, 1985 White Noise Calculus and Nonlinear Filtering Theory

G. Kallianpur, R. L. Karandikar

Ann. Probab. 13(4): 1033-1107 (November, 1985). DOI: 10.1214/aop/1176992798

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Abstract

A self-contained outline of recent work on the white noise approach to nonlinear filtering is given together with the necessary background of white noise calculus.

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G. Kallianpur. R. L. Karandikar. "White Noise Calculus and Nonlinear Filtering Theory." Ann. Probab. 13 (4) 1033 - 1107, November, 1985. https://doi.org/10.1214/aop/1176992798

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Published: November, 1985

First available in Project Euclid: 19 April 2007

zbMATH: 0584.60055

MathSciNet: MR806211

Digital Object Identifier: 10.1214/aop/1176992798

Subjects:

Primary: 60A05

Secondary: 60G35 , 60H15

Keywords: Bayes formula , conditional expectation , Finitely additive white noise , lifting , optimal filter , quasicylindrical mapping , robustness

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Ann. Probab.

Vol.13 • No. 4 • November, 1985

Institute of Mathematical Statistics

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G. Kallianpur, R. L. Karandikar "White Noise Calculus and Nonlinear Filtering Theory," The Annals of Probability, Ann. Probab. 13(4), 1033-1107, (November, 1985)

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