A finite-dimensional filtering of infinite-dimensional diffusion processes

DOI10.1007/BF01209373MaRDI QIDQ1324930zbMATH OpenOpenAlexFDO

Authors Yu. V. Orlov

Publication date 21 July 1994

Published in Mathematical Notes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01209373

zbMATH Keywords

filtering probleminfinite-dimensional diffusion processKalman-Bucy equationsoptimal estimationparabolic partial differential equation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Filtering in stochastic control theory (93E11)

Recommendations

• scientific article; zbMATH DE number 4132071
• scientific article; zbMATH DE number 4061124
• scientific article; zbMATH DE number 2226680
• On filtering equations in infinite dimensions
• Galerkin Approximation for Optimal Linear Filtering of Infinite-Dimensional Linear Systems

Cited in

(23)

• On some finite dimensional nonlinear filters for certain diffusions observed in correlated noise
• Using bases of finite functions in problems of filtering of a priori uncertain time-dependent processes on stochastic spatial fractals
• Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises
• A direct approach to deriving filtering equations for diffusion processes
• Space-differential filtration of Markov processes on one-dimensional stochastic manifolds
• Filterlng of hidden diffusion processes
• scientific article; zbMATH DE number 4132071 (Why is no real title available?)
• Filtering of diffusions controlled through their conditional measures^†
• A note on finite-dimensional estimators for infinite-dimensional systems
• scientific article; zbMATH DE number 3914225 (Why is no real title available?)
• scientific article; zbMATH DE number 3952633 (Why is no real title available?)
• scientific article; zbMATH DE number 4035699 (Why is no real title available?)
• scientific article; zbMATH DE number 4061124 (Why is no real title available?)
• Galerkin Approximation for Optimal Linear Filtering of Infinite-Dimensional Linear Systems
• scientific article; zbMATH DE number 16928 (Why is no real title available?)
• On an Optimal Filtration Problem for One-Dimensional Diffusion Processes
• Infinite dimensional affine term structure models under incomplete information
• Unbiased filtering of a class of partially observed diffusions
• Filtering partially observable diffusions up to the exit time from a domain
• scientific article; zbMATH DE number 2226680 (Why is no real title available?)
• Hypoellipticity and ergodicity of the Wonham filter as a diffusion process
• On filtering equations in infinite dimensions
• Filtration of stationary processes with rational spectral density

This page was built for publication: A finite-dimensional filtering of infinite-dimensional diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1324930)