Nonlinear filtering for Markov diffusion systems with delayed observations

Proceedings of the IEEE Conference on Decision and Control

Volumn 2, Issue , 2003, Pages 1404-1405

  Calzolari, Antonella ^a   Florchinger, Patrick ^b   Nappo, Giovanna ^c  

^a UNIVERSITY OF ROME TOR VERGATA   (Italy)

^b UNIVERSITÉ DE LORRAINE   (France)

^c SAPIENZA UNIVERSITY OF ROME   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATION THEORY; DIFFUSION; DISCRETE TIME CONTROL SYSTEMS; MARKOV PROCESSES; OPTIMAL CONTROL SYSTEMS; PERTURBATION TECHNIQUES; PROBABILITY DENSITY FUNCTION; SET THEORY; STOCHASTIC CONTROL SYSTEMS; THEOREM PROVING;

SIGNAL PROCESS; ZAKAI EQUATIONS;

NONLINEAR FILTERING;

EID: 1542358929     PISSN: 07431546     EISSN: 25762370     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (4)

1. M.H. Chang, Discrete approximation of nonlinear filtering for stochastic delay equations. Stochastic Anal. Appl. 5,3 (1987), 267-298.
2. G. Kallianpur and P.K. MANDAL, Nonlinear filtering with stochastic delay equations. In Advances on Theoretical and Methodological Aspects of Probability and Statistics; IISA 1998; Volume 2. Gordon and Breach Science Publishers (2002), 3-36.
3. R.H. Kwong and A.S. Willsky, A.S. Estimation and filter stability of stochastic delay systems. SIAM J. Control Optim. 16,4 (1978), 660-681.
4. M. Schweizer, Risk-minimizing hedging strategies under restricted information. Math. Finance 4,4 (1994), 327-342.