Approximation of Nonlinear Filters for Markov Systems with Delayed Observations

DOI10.1137/050623504zbMath1109.93043OpenAlexW2173099104MaRDI QIDQ3427784

Patrick Florchinger, Antonella Calzolari, Giovanna Nappo

Publication date: 27 March 2007

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: http://www.mat.uniroma1.it/people/nappo/papers.pdf/delayapproxSIAM-revised.pdf

zbMATH Keywords

Markov processesnonlinear filteringjump processesapproximation of stochastic processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (6)

Discrete Approximations of Controlled Stochastic Systems with Memory: A Survey ⋮ Extended and unscented filtering algorithms using one-step randomly delayed observations ⋮ Stochastic filtering for multiscale stochastic reaction networks based on hybrid approximations ⋮ Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme ⋮ Recursive estimation of discrete-time signals from nonlinear randomly delayed observations ⋮ Nonlinear Filtering for Markov Systems with Delayed Observations

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