Continuous finite-dimensional locally optimal filtering of jump diffusions

DOI10.1134/S1064230718040135zbMath1401.93205OpenAlexW2888272924WikidataQ129335708 ScholiaQ129335708MaRDI QIDQ1994802

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

zbMATH Keywords

optimal filteringKalman-Bucy filterjump diffusionscontinuous-time state estimation

Mathematics Subject Classification ID

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

Related Items

Using maximum cross section method for filtering jump-diffusion random processes, 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

Cites Work

• New exact nonlinear filters with large Lie algebras
• On the optimization of systems defined by stochastic differential equations
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• Theory of stochastic differential equations with jumps and applications.
• Optimal structure of continuous nonlinear reduced-order Pugachev filter
• The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
• Nonlinear Filtering for Jump Diffusion Observations
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Cubature Kalman Filters
• Solving approximately a prediction problem for stochastic jump-diffusion systems
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
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