Continuous finite-dimensional locally optimal filtering of jump diffusions
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Publication:1994802
DOI10.1134/S1064230718040135zbMath1401.93205OpenAlexW2888272924WikidataQ129335708 ScholiaQ129335708MaRDI QIDQ1994802
Publication date: 2 November 2018
Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s1064230718040135
Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) White noise theory (60H40)
Related Items (3)
Using maximum cross section method for filtering jump-diffusion random processes ⋮ Optimal recurrent nonlinear filter of a large order for jump diffusion Markov signals ⋮ Modeling and analysis of output processes of linear continuous stochastic systems based on orthogonal expansions of random functions
Cites Work
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- On the optimization of systems defined by stochastic differential equations
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- Theory of stochastic differential equations with jumps and applications.
- Optimal structure of continuous nonlinear reduced-order Pugachev filter
- The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
- Nonlinear Filtering for Jump Diffusion Observations
- Exact finite-dimensional filters for certain diffusions with nonlinear drift
- Cubature Kalman Filters
- Solving approximately a prediction problem for stochastic jump-diffusion systems
- Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
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