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

DOI10.1016/S0167-6911(97)00095-9MaRDI QIDQ1128534zbMATH OpenOpenAlexFDO

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

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)

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• A conditionally almost linear filtering problem with non-gaussian initial condition^∗
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• Classes of Nonlinear Partially Observable Stochastic Optimal Control Problems with Explicit Optimal Control Laws
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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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