Continuous finite-dimensional locally optimal filtering of jump diffusions

DOI10.1134/S1064230718040135zbMATH Open1401.93205OpenAlexW2888272924WikidataQ129335708 ScholiaQ129335708MaRDI QIDQ1994802FDOQ1994802

Authors: E. A. Rudenko 

Publication date: 2 November 2018

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064230718040135

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zbMATH Keywords

jump diffusionsoptimal filteringKalman-Bucy filtercontinuous-time state estimation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) White noise theory (60H40) Estimation and detection in stochastic control theory (93E10)

Cites Work

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Cited In (6)

• \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes
• Local \(M\)-estimation for jump-diffusion processes
• Using maximum cross section method for filtering jump-diffusion random processes
• Simulation and optimal filtering for linear systems with Poisson white noise
• Optimal recurrent nonlinear filter of a large order for jump diffusion Markov signals
• Modeling and analysis of output processes of linear continuous stochastic systems based on orthogonal expansions of random functions

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