On the joint nonlinear filtering-smoothing of diffusion processes

DOI10.1016/0167-6911(86)90046-0zbMath0661.93069OpenAlexW2027824031MaRDI QIDQ1113865

Ofer Zeitouni, Ben Zion Bobrovsky

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1016/0167-6911(86)90046-0

zbMATH Keywords

nonlinear filteringnonlinear smoothing

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14) Diffusion processes (60J60)

Related Items

Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm ⋮ Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation ⋮ A class of adaptive control problems solved via stochastic control

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