Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering
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The finite dimensional filters for partially observed stochastic processes are studied by considering an associated finite-dimensional estimation algebra. The finite-dimensional Lie algebra of maximal rank is characterized in terms of the drift structure and the output functions. The results are proved using Riemannian geometry tools.
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Cited in
(9)- On a new class of finite dimensional estimation algebras
- On drift, diffusion and geometry
- Structure and Classification Theorems of Finite-Dimensional Exact Estimation Algebras
- Mitter conjecture for low dimensional estimation algebras in non-linear filtering†
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- Complete classification of finite-dimensional estimation algebras of maximal rank
- Finite-Dimensional Filters with Nonlinear Drift IV: Classification of Finite-Dimensional Estimation Algebras of Maximal Rank with State–Space Dimension 3
- The estimation Lie algebra associated with quantum filters
- Some finite dimensional filters derived from the structure theorem for five-dimensional estimation algebras
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