Robust filtering: Correlated noise and multidimensional observation

Annals of Applied Probability

Volumn 23, Issue 5, 2013, Pages 2139-2160

  Crisan, D ^a   Diehl, J ^b   Friz, P K ^b,c   Oberhauser, H ^b  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b TECHNISCHE UNIVERSITÄT BERLIN   (Germany)

^c WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

Author keywords

Filtering; Robustness; Rough path theory

Indexed keywords

EID: 84885106085     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/12-AAP896     Document Type: Article

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