New explicit filters and smoothers for diffusions with nonlinear drift and measurements

DOI10.1016/S0167-6911(97)00095-9zbMATH Open0902.93064OpenAlexW2061919930MaRDI QIDQ1128534FDOQ1128534

Authors: Charalambos D. Charalambous, Robert J. Elliott 

Publication date: 13 August 1998

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

Full work available at URL: https://doi.org/10.1016/s0167-6911(97)00095-9

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zbMATH Keywords

smoothingnonlinear filteringfinite-dimensionalityGirsanov's measure transformations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Data smoothing in stochastic control theory (93E14)

Cites Work

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• Exact finite-dimensional filters for certain diffusions with nonlinear drift
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• General finite-dimensional risk-sensitive problems and small noise limits
• Partially observable nonlinear risk-sensitive control problems: dynamic programming and verification theorems
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• Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems
• Classes of Nonlinear Partially Observable Stochastic Optimal Control Problems with Explicit Optimal Control Laws
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• A conditionally almost linear filtering problem with non-gaussian initial condition^∗
• On the Relation of Zakai’s and Mortensen’s Equations
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Cited In (2)

• Finite dimensional estimation algebras with state dimension 3 and rank 2, Mitter conjecture
• Finite dimensional estimation algebras with state dimension 3 and rank 2. I: Linear structure of Wong matrix

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