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Non linear filtering for the system with general noise

  • Hiroshi Kunita
Part II: Research Reports
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 16)

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References

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    Doléans—Dade, C: Quelques applications de la formule de changement de variables pour les semi-martingales. Z. Wahrscheinlichkeitstheorie verw. Gebiete 16, 181–194 (1970).Google Scholar
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    Fuzisaki, M.—Kallianpur, G.—Kunita, H; Stochastic differential equations for non linear filtering problem. Osaka J. Math. 9, 19–40 (1972)Google Scholar
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    Kunita, H.—Watanabe, S: On square integrable martingales, Nagoya Math. J. 30, 209–245 (1967)Google Scholar
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    Liptzer, R.S.—Shiryaev, A.N: Statistics of stochastic processes. Nauka, 1974.Google Scholar
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    Meyer, P.A; Integrals stochastiques, Séminaire de Probabilités I, Lecture Notes in Math, 39, Springer 1967.Google Scholar
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    van Schuppen, J.H.—Wong, E: Transformations of local martingales under a change of law. Ann. Prob. 2, 879–888 (1974).Google Scholar

Copyright information

© Springer-Verlag 1979

Authors and Affiliations

  • Hiroshi Kunita
    • 1
  1. 1.Department of System ScienceUniversity of CaliforniaLos Angeles

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