Pathwise representation of the smoothing distribution in continuous-time linear Gaussian models

DOI10.1016/J.SPA.2026.104997MaRDI QIDQ7287465zbMATH OpenFDO

Authors Masahiro Kurisaki

Publication date 24 June 2026

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPA.2026.104997

Mathematics Subject Classification ID

Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20)

Cites work

• A simple proof for the Kalman-Bucy smoothed estimate formula
• Backward Nonlinear Smoothing Diffusions
• Bayesian filtering and smoothing
• Fixed interval smoothing with discrete measurements
• Fundamentals of stochastic filtering
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• New results in linear filtering and prediction theory
• On complementary models and fixed-interval smoothing
• Smoothing error dynamics and their use in the solution of smoothing and mapping problems
• The Malliavin Calculus and Related Topics

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