On a new class of finite dimensional estimation algebras

DOI10.1016/0167-6911(87)90012-0zbMath0628.93068OpenAlexW1997032888MaRDI QIDQ1093610

Wing Shing Wong

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1016/0167-6911(87)90012-0

zbMATH Keywords

nonlinear filtersfinite dimensional Lie algebrasestimation algebrapartially observed diffusion

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Algebraic methods (93B25) Diffusion processes (60J60) Lie algebras and Lie superalgebras (17B99)

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Cites Work

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• A conditionally almost linear filtering problem with non-gaussian initial condition^∗
• Existence and uniqueness theorems for the algebraic Riccati equation
• Exact finite-dimensional filters for certain diffusions with nonlinear drift