Finite-Dimensional Filters. Part II: Invariance Group Techniques

DOI10.1137/S0363012994270916MaRDI QIDQ4337728zbMATH OpenFDO

Authors M. Cohen de Lara

Publication date 26 May 1997

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

Full work available at URL https://doi.org/10.1137/S0363012994270916

zbMATH Keywords

bilinear stochastic partial differential equationfinite-dimensional filtersfinite-dimensional realizationinvariance group of a parabolic equationRiemannian geometry

Mathematics Subject Classification ID

Second-order parabolic equations (35K10) Group actions and symmetry properties (58D19) Signal detection and filtering (aspects of stochastic processes) (60G35) Filtering in stochastic control theory (93E11)

Review text

In the second part of this work [Part I is reviewed above], finite-dimensional filters for stochastic differential operators are analyzed from a geometrical point of view. The invariance group of a parabolic equation is introduced and it is applied to the problem of finite-dimensional realization of bilinear stochastic differential equations. This time the analysis is focused on mappings having values in a set of smooth functions (densities) rather than measures. The exposition is given in an explicit manner and several examples are analyzed in detail.

Recommendations

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Cited in

(11)

• Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering
• Reduction of the Zakai equation by invariance group techniques
• Some recent developments on Lie symmetry analysis of stochastic differential equations
• Weak symmetries of stochastic differential equations driven by semimartingales with jumps
• The geometry of differential constraints for a class of evolution PDEs
• On drift, diffusion and geometry
• Second-Order-Optimal Minimum-Energy Filters on Lie Groups
• scientific article; zbMATH DE number 434622 (Why is no real title available?)
• Translation Invariant Filters and van der Waerden’s Theorem
• Finite dimensional realizations of stochastic p.d.e.'s and application to filtering
• Finite-Dimensional Filters. Part I: The Wei--Norman Technique

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