Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation
From MaRDI portal
Publication:1374637
DOI10.1016/S0304-4149(96)00086-5zbMath0879.93054MaRDI QIDQ1374637
Zeev Schuss, Robert Sh. Liptser, Ben Zion Bobrovsky, Y. Steinberg
Publication date: 10 December 1997
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
93E11: Filtering in stochastic control theory
60G35: Signal detection and filtering (aspects of stochastic processes)
Cites Work
- On the joint nonlinear filtering-smoothing of diffusion processes
- Smoothing algorithms for nonlinear finite-dimensional systems
- On optimal linear smoothing theory
- ON STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
- Fixed-Point Smoothing of Scalar Diffusions I: An Asymptotically Optimal Smoother
- On the optimal filtering of diffusion processes
- Nonlinear Smoothing Theory
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item