Nonlinear filtering problems with finite-dimensional matrix estimation algebras

DOI10.1016/0167-6911(86)90062-9zbMath0615.93069OpenAlexW2122555578WikidataQ57979275 ScholiaQ57979275MaRDI QIDQ1821080

Kenneth A. Loparo, Zvi S. Roth

Publication date: 1986

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(86)90062-9

zbMATH Keywords

random structurenonlinear filteringestimation algebras

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Diffusion processes (60J60) Stochastic systems in control theory (general) (93E03) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• Exponential stability in discrete-time filtering for non-ergodic signal.
• Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• The adaptive LQG problem--Part I
• Lie Algebraic Solution of Linear Differential Equations
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• Moments and Correlation Functions of Solutions of Some Stochastic Matrix Differential Equations
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