On optimal nonlinear estimation. I: Continuous observation

DOI10.1016/0020-0255(73)90025-XMaRDI QIDQ2558846zbMATH OpenOpenAlexFDO

Authors James Ting-Ho Lo

Publication date 1973

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0020-0255(73)90025-x

Mathematics Subject Classification ID

Diffusion processes (60J60) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Cites work

• A PrioriOpen Loop Optimal Control of Continuous Time Stochastic Systems†
• Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener Measure
• Conditional Markov Processes
• Finite-dimensional sensor orbits and optimal nonlinear filtering
• scientific article; zbMATH DE number 3215021 (Why is no real title available?)
• scientific article; zbMATH DE number 3278065 (Why is no real title available?)
• On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
• Space-time approach to non-relativistic quantum mechanics

Cited in

(4)

• Supplement to 'A survey of data smoothing'
• Partitioned estimation algorithms. I: Nonlinear estimation
• A general Bayes rule and its application to nonlinear estimation
• On optimal nonlinear estimation. II: Discrete observation

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