New classes of finite-dimensional nonlinear filters

DOI10.1016/0167-6911(83)90056-7MaRDI QIDQ787951zbMATH OpenOpenAlexFDO

Authors Wing Shing Wong

Publication date 1983

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(83)90056-7

zbMATH Keywords

nonlinear filtersKalman-Bucy filtersBenes filtersestimation algebras

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10)

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• Applications of the Lie algebraic formulas of Baker, Campbell, Hausdorff and Zassenhaus to the calculation of explicit solutions of partial differential equations
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Exponential stability in discrete-time filtering for non-ergodic signal.
• On a multiplicative functional transformation arising in nonlinear filtering theory
• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes
• Some Observations on Metaplectic Groups
• The partial differential equation u_t + uu_x = μ_xx

Cited in

(16)

• An extension of the Beneš filter and some identification problems solved by nonlinear filtering methods
• Finite-dimensional filter for a class of nonlinear systems with correlated noises
• On a new class of finite dimensional estimation algebras
• Finite dimensional filters with nonlinear drift. XI: Explicit solution of the generalized Kolmogorov equation in Brockett-Mitter program
• Finite dimensional estimation algebras with state dimension 3 and rank 2, Mitter conjecture
• Nonlinear system immersion, observers and finite-dimensional filters
• Computation of invariant sets via immersion for discrete-time nonlinear systems
• Finite dimensional estimation algebras with state dimension 3 and rank 2. I: Linear structure of Wong matrix
• A conditionally almost linear filtering problem with non-gaussian initial condition^∗
• Theorems on the structure of finite dimensional estimation algebras
• A bound approach to asymptotic optimality in non-linear filtering of diffusion processes
• Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering
• A note on estimation algebras on nonlinear filtering theory
• Exact finite-dimensional filter for exponential functionals of the state of Beneš systems
• New classes of finite dimensional filters with nonmaximal rank estimation algebra on state dimension \(n\) and linear rank \(n-2\)
• Explicit solution of a Kolmogorov equation

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