Optimal projection filters with information geometry

DOI10.1007/S41884-023-00108-XOpenAlexW4379230691MaRDI QIDQ6138810

Damiano Brigo, John Armstrong, Bernard Hanzon

Publication date: 16 January 2024

Published in: Information Geometry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s41884-023-00108-x

zbMATH Keywords

stochastic differential equationsstochastic partial differential equationsnonlinear filteringprojection filtersItô-jet projectionItô-vector projectionoptimal projection filtersSPDEs projection on a submanifoldStratonovich projectionStratonovich projection filters

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical aspects of computer graphics, image analysis, and computational geometry (65D18) Jets in global analysis (58A20) Diffusion processes and stochastic analysis on manifolds (58J65) Statistical aspects of information-theoretic topics (62B10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric
• An infinite-dimensional statistical manifold modelled on Hilbert space
• On the nice behaviour of the Gaussian projection filter with small observation noise
• Nonexistence of finite-dimensional filters for conditional statistics of the cubic sensor problem
• Stochastic models, estimation, and control. Vol. 2,3
• Approximate nonlinear filtering and its application in navigation
• Fundamentals of stochastic filtering
• Stochastic calculus in manifolds. With an appendix by P.A. Meyer
• On some filtering problems arising in mathematical finance
• Approximate nonlinear filtering by projection on exponential manifolds of densities
• New results on the Gaussian projection filter with small observation noise
• Itô stochastic differential equations as 2-jets
• An exponential quantum projection filter for open quantum systems
• A infinite-dimensional geometric structure on the space of all the probability measures equivalent to a given one
• Differential-geometrical methods in statistics
• Uncertainty estimation and prediction for interdisciplinary ocean dynamics
• Stochastic processes and filtering theory
• The Geometry of Filtering
• A differential geometric approach to nonlinear filtering: the projection filter
• Intrinsic stochastic differential equations as jets
• Optimal approximation of SDEs on submanifolds: the Itô‐vector and Itô‐jet projections
• A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods
• Information geometric nonlinear filtering
• Efficient noncausal noise reduction for deterministic time series

This page was built for publication: Optimal projection filters with information geometry