A conditional variational principle for nonlinear filtering that handles correlated signal and observation noise, generalizing the Mitter-Newton formulation.
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Introduces space-time controlled fields calculus for rough stochastic systems to unify composition rules and derive Itô-Wentzell-Alekseev-Gröbner identities.
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The Variational Approach in Filtering and Correlated Noise
A conditional variational principle for nonlinear filtering that handles correlated signal and observation noise, generalizing the Mitter-Newton formulation.
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Controlled fields, rough stochastic calculus, and It\^o-Wentzell-Alekseev-Gr\"obner identities
Introduces space-time controlled fields calculus for rough stochastic systems to unify composition rules and derive Itô-Wentzell-Alekseev-Gröbner identities.