Dynamical equations for optimal nonlinear filtering

Cites Work

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On the Convergence of Ordinary Integrals to Stochastic Integrals
Conditional Markov Processes
Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
Continuous Markov processes and stochastic equations
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On the dynamical equations of conditional probability density functions, with applications to optimal stochastic control theory

Cited In (68)

Sequential estimation of states for non-linear lumped parameter systems†
Estimation of robot states with Poisson process based on EKF approximate of Kushner filter: a completely coordinate free Lie group approach
Stochastic filtering under model ambiguity
Itô-vector projection filter for exponential families
Modal Kalman Filter
Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises
Bayesian Filtering in Spiking Neural Networks: Noise, Adaptation, and Multisensory Integration
Gauss, Kalman and advances in recursive parameter estimation
Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
A path integral method for data assimilation
A moment-derived stochastic estimation and control algorithm for bounded-noise systems†
The Filtering Equations Revisited
Discrete-time filtering for nonlinear polynomial systems over linear observations
Estimating the angular dynamics of a Fan window stroboscope from noisy quantum image measurements
On the optimal filtering of diffusion processes
Investigation of the adaptive features of a real-time nonlinear freeway traffic state estimator
Efficiency analysis of a filtering algorithm for discrete-time linear stochastic systems with polynomial measurements
Nonlinear Filtering with Fractional Brownian Motion Noise
Optimal inventory control with shrinkage and observed sales
Nonlinear filtering problem with contamination
Observation sampling and quantisation for continuous-time estimators.
Some recent developments in nonlinear filtering theory
A comparison of three non-linear filters
Accelerated Monte Carlo for optimal estimation of time series
Quantum-mechanical representations of nonlinear filtering and stochastic optimal control
Large deviations for optimal filtering with fractional Brownian motion
An adaptive freeway traffic state estimator
On lie algebras and finite dimensional filtering
A mean field approximation in data assimilation for nonlinear dynamics
On the dynamics of randomly excited nonlinear systems
Interactive statistical mechanics and nonlinear filtering
A discrete-time optimal filtering approach for non-linear systems as a stable discretization of the Mortensen observer
The novel classes of finite dimensional filters with non-maximal rank estimation algebra on state dimension four and rank of one
Control: a perspective
Variational Markov chain Monte Carlo for Bayesian smoothing of non-linear diffusions
An incomplete information inventory model with presence of inventories or backorders as only observations
A minimum principle for stochastic control problems with output feedback
The stochastic filtering problem: a brief historical account
A perturbed martingale approach to global optimization
Conception d'algorithmes parallélisables et convergents de filtrage récursif non-linéaire
An application of the information theory to filtering problems
Parameter identification for partially observed diffusions
New method for optimal nonlinear filtering of noisy observations by multiple stochastic fractional integral expansions
On the stochastic differential equations of filtering theory
On the stochastic differential equations of filtering theory
Ergodic properties of the nonlinear filter.
Fractional generalizations of Zakai equation and some solution methods
Hypoellipticity theorems and conditional laws
Discrete time Galerkin approximations to the nonlinear filtering solution
Information geometric nonlinear filtering
Computation of approximate optimal policies in a partially observed inventory model with rain checks
On the filtering problem for continuous-time Markov jump linear systems with no observation of the Markov chain
On the optimal control of partially observed inventory systems
Estimating parameters in stochastic systems: A variational Bayesian approach
Partitioned estimation algorithms. I: Nonlinear estimation
Monte Carlo techniques to estimate the conditional expectation in multi-stage non-linear filtering†
Approximate and limit results for nonlinear filters with wide bandwith observation noise
Stochastic partial differential equations and filtering of diffusion processes
Exact and approximate state estimation for nonlinear dynamic systems
Fractional generalizations of filtering problems and their associated fractional Zakai equations
Stochastic optimal control for non-linear dynamical systems under noisy observations
Analytical methods for performance evaluation of nonlinear filters
Maximum-likelihood recursive nonlinear filtering
Joint detection-estimation of Gaussian signals in white Gaussian noise
On a robust version of the integral representation formula of nonlinear filtering
Nonlinear filtering of systems governed by Ito differential equations with jump parameters
Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
Finite difference methods for the weak solutions of the Kolmogorov equation for the density of both diffusion and conditional diffusion processes

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