Fixed-Point Smoothing of Scalar Diffusions I: An Asymptotically Optimal Smoother

DOI10.1137/S0036139990188904MaRDI QIDQ4305386zbMATH OpenOpenAlexFDO

Authors Y. Steinberg, Zeev Schuss, B. Z. Bobrovsky

Publication date 13 October 1994

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0036139990188904

zbMATH Keywords

filtering problemfixed-point smoothing problemoptimal filterstochastic differential equationZakai- type equation

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Signal detection and filtering (aspects of stochastic processes) (60G35) Filtering in stochastic control theory (93E11)

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Cited in

(8)

• Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation
• On fixed-point smoothing for descriptor systems with multiplicative noise and single delayed observations
• Fixed-point smoothing of scalar diffusions. II: The error of the optimal smoother
• Steady-state error covariances of fixed-point smoothers
• Asymptotic Optimality of the Minimum-Variance Fixed-Interval Smoother
• An optimal control derivation of nonlinear smoothing equations
• Least Squares Smoothing of Nonlinear Systems
• Asymptotically efficient smoothing in the Wicksell problem under squared losses

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