Finite-Dimensional Filters. Part I: The Wei--Norman Technique (Q4337727)
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scientific article; zbMATH DE number 1013280
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| English | Finite-Dimensional Filters. Part I: The Wei--Norman Technique |
scientific article; zbMATH DE number 1013280 |
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Finite-Dimensional Filters. Part I: The Wei--Norman Technique (English)
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26 May 1997
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bilinear stochastic partial differential equation
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finite-dimensional realizations
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finite-dimensional filters
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estimation Lie algebra
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0.8300118446350098
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0.8108363151550293
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This paper deals with finite-dimensional realizations of input-output mappings connected with stochastic differential equations and their finite-dimensional filters. The main tool of this approach consists of constructing the estimation Lie algebra of vector fields which is supposed to be a finite-dimensional vector space. The computations are given in an explicit manner and five theorems are proved including an extension of the Baker-Campbell-Hausdorff formula.
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