1982/03/01 by Michael H. Davis, M. H. A. Davis
Decision Sciences · Economics, Econometrics and Finance · Physics and Astronomy · #Probabilistic and Robust Engineering Design #Scientific Research and Discoveries #Stochastic processes and financial applications
paper · doi:10.1137/1127017
crossref issued 1982/03/01 · crossref published 1982/03/01 · crossref published-print 1982/03/01 · openalex publication_date 1982/03/01 · crossref created 2005/03/07 · crossref deposited 2017/01/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/04/04 · crossref indexed 2026/07/28
Previous article Next article A Pathwise Solution of the Equations of Nonlinear FilteringM. H. A. DavisM. H. A. Davishttps://doi.org/10.1137/1127017PDFBibTexSections ToolsAdd to favoritesExport CitationTrack CitationsEmail SectionsAbout[1] V. E. Beneš, Exact finite-dimensional filters for certain diffusions with nonlinear drift, Stochastics, 5 (1981), 65–92 83a:60070 0458.60030 CrossrefGoogle Scholar[2] J. M. C. Clark, J. K. Skwirzynski, The design of robust approximations to the stochastic differential equations of nonlinear filteringCommunication systems and random process theory (Proc. 2nd NATO Advanced Study Inst., Darlington, 1977), Sijthoff & Noordhoff, Alphen aan den Rijn, 1978, 721–734. NATO Advanced Study Inst. Ser., Ser. E: Appl. Sci., No. 25 58:26431 CrossrefGoogle Scholar[3] M. H. A. Davis, On a multiplicative functional transformation arising in nonlinear filtering theory, Z. Wahrsch. Verw. 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Davis, Pathwise solutions and multiplicative functionals in nonlinear filtering, Proc. 18th IEEE Conference on Decision and Control, Fort Lauderdale, FL, 1979 Google Scholar Previous article Next article FiguresRelatedReferencesCited byDetails Some Large Deviation Asymptotics in Small Noise Filtering ProblemsAnugu Sumith Reddy, Amarjit Budhiraja, and Amit Apte10 February 2022 | SIAM Journal on Control and Optimization, Vol. 60, No. 1AbstractPDF (611 KB)The stochastic filtering problem: a brief historical account30 March 2016 | Journal of Applied Probability, Vol. 51, No. A Cross Ref Noise29 September 2014 Cross Ref Robust filtering: Correlated noise and multidimensional observationThe Annals of Applied Probability, Vol. 23, No. 5 Cross Ref On Filtering with Observation in a Manifold: Reduction to a Classical Filtering ProblemSalem Said and Jonathan H. Manton21 February 2013 | SIAM Journal on Control and Optimization, Vol. 51, No. 1AbstractPDF (237 KB)Monte Carlo methods for backward equations in nonlinear filtering1 July 2016 | Advances in Applied Probability, Vol. 41, No. 1 Cross Ref Interactive Statistical Mechanics and Nonlinear Filtering24 September 2008 | Journal of Statistical Physics, Vol. 133, No. 4 Cross Ref Particle Filters in a Continuous Time Framework Cross Ref Noise15 August 2006 Cross Ref Observation sampling and quantisation for continuous-time estimatorsStochastic Processes and their Applications, Vol. 87, No. 2 Cross Ref Filtering and Estimation, Nonlinear27 December 1999 Cross Ref Non-linear filtering of rare events with large signal-to-noise ratio14 July 2016 | Journal of Applied Probability, Vol. 24, No. 4 Cross Ref Lie-trotter product formulas for nonlinear filteringStochastics, Vol. 17, No. 4 Cross Ref Approximate and limit results for nonlinear filters with wide bandwith observation noiseStochastics, Vol. 16, No. 1-2 Cross Ref An overview of stochastic filtering theory1 July 2016 | Advances in Applied Probability, Vol. 17, No. 2 Cross Ref Volume 27, Issue 1| 1982Theory of Probability & Its Applications History Submitted:04 October 1979Published online:17 July 2006 InformationCopyright © 1982 Society for Industrial and Applied MathematicsPDF Download Article & Publication DataArticle DOI:10.1137/1127017Article page range:pp. 167-175ISSN (print):0040-585XISSN (online):1095-7219Publisher:Society for Industrial and Applied Mathematics