Nonlinear filtering of diffusion processes in correlated noise: Analysis by separation of variables
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Publication:1401570
DOI10.1007/s00245-002-0760-4zbMath1023.60058arXivmath/0210068OpenAlexW2121061571MaRDI QIDQ1401570
Publication date: 18 August 2003
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0210068
Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)
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