Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric

DOI10.1007/s00498-015-0154-1zbMath1338.93365arXiv1303.6236OpenAlexW3100014800WikidataQ59409630 ScholiaQ59409630MaRDI QIDQ276014

John Armstrong, Damiano Brigo

Publication date: 26 April 2016

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.6236

zbMATH Keywords

exponential familiesHellinger distanceFisher informationGalerkin methodsdirect \(L^2\) metricfinite-dimensional families of probability distributionsLevy metricmixture familiesstochastic filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Optimal projection filters with information geometry, A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems, Linearized filtering of affine processes using stochastic Riccati equations

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