Imperial College London
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ProfessorThomasCass

Faculty of Natural Sciences, Department of Mathematics

Professor of Mathematics
 
 
 
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Contact

 

thomas.cass

 
 
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Location

 

808Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Cass:2014:10.1007/978-3-319-11292-3_5,
author = {Cass, T and Clark, M and Crisan, D},
doi = {10.1007/978-3-319-11292-3_5},
journal = {Springer Proceedings in Mathematics and Statistics},
pages = {129--162},
title = {The filtering equations revisited},
url = {http://dx.doi.org/10.1007/978-3-319-11292-3_5},
volume = {100},
year = {2014}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - The problem of nonlinear filtering has engendered a surprising number of mathematical techniques for its treatment. A notable example is the changeof– probability-measure method introduced by Kallianpur and Striebel to derive the filtering equations and the Bayes-like formula that bears their names. More recent work, however, has generally preferred other methods. In this paper, we reconsider the change-of-measure approach to the derivation of the filtering equations and show that many of the technical conditions present in previous work can be relaxed. The filtering equations are established for general Markov signal processes that can be described by amartingale-problem formulation.Two specific applications are treated.
AU  - Cass,T
AU  - Clark,M
AU  - Crisan,D
DO  - 10.1007/978-3-319-11292-3_5
EP  - 162
PY  - 2014///
SN  - 2194-1009
SP  - 129
TI  - The filtering equations revisited
T2  - Springer Proceedings in Mathematics and Statistics
UR  - http://dx.doi.org/10.1007/978-3-319-11292-3_5
VL  - 100
ER  -
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