On measure transformations for combined filtering and parameter estimation in discrete time

DOI10.1016/S0167-6911(82)80044-3zbMath0483.93081OpenAlexW2085495436MaRDI QIDQ1163516

Wolfgang J. Runggaldier, Giovanni B. Di Masi

Publication date: 1982

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(82)80044-3

zbMATH Keywords

parameter estimationnonlinear filteringZakai equationdiscrete-time stochastic systemsmeasure transformation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

Related Items (9)

Measure change estimates for hidden Markov models ⋮ The detection and estimation of the change point in a disccrete-time stochastic system ⋮ Value function estimators for Feynman-Kac forward-backward SDEs in stochastic optimal control ⋮ Discrete approximation of nonlinear filtering for stochastic delay equations ⋮ Nonlinear filtering for jump-diffusions ⋮ Combined filtering and parameter estimation: Approximations and robustness ⋮ Robust parameter estimation for stochastic differential equations ⋮ Event-triggered minimax state estimation with a relative entropy constraint ⋮ An approximation for the nonlinear filtering problem, with error bound^†

Cites Work

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• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• On the optimal filtering of diffusion processes

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