Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation

DOI10.1016/S0304-4149(96)00086-5MaRDI QIDQ1374637zbMATH OpenOpenAlexFDO

Authors Y. Steinberg, R. Liptser, B. Z. Bobrovsky, Zeev Schuss

Publication date 10 December 1997

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

Full work available at URL https://doi.org/10.1016/s0304-4149(96)00086-5

zbMATH Keywords

smoothingdiffusion processfiltering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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• Fixed-Point Smoothing of Scalar Diffusions I: An Asymptotically Optimal Smoother
• Nonlinear Smoothing Theory
• ON STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
• On optimal linear smoothing theory
• On the joint nonlinear filtering-smoothing of diffusion processes
• On the optimal filtering of diffusion processes
• Smoothing algorithms for nonlinear finite-dimensional systems

Cited in

(4)

• Fixed-Point Smoothing of Scalar Diffusions I: An Asymptotically Optimal Smoother
• On the joint nonlinear filtering-smoothing of diffusion processes
• Two-filter formulae for discrete-time non-linear bayesian smoothing
• Fixed-point smoothing of scalar diffusions. II: The error of the optimal smoother

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