Filtering for nonlinear systems driven by nonwhite noises:an approximation scheme

DOI10.1080/17442509308833842MaRDI QIDQ3141174zbMATH OpenOpenAlexFDO

Authors Wolfgang J. Runggaldier, H. Körezlioğlu

Publication date 21 April 1994

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509308833842

zbMATH Keywords

Gaussian processestime discretizationnonlinear filtering problemMarkovian representationrational spectral densities

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Recommendations

• An approximation for the nonlinear filtering problem, with error bound^†
• A nonlinear filtering algorithm based on an approximation of the conditional distribution
• Nonlinear filters for linear models (a robust approach)
• scientific article; zbMATH DE number 4088785
• Numerical approximations to optimal nonlinear filters

Cited in

(12)

• Filtering of a reflected Brownian motion with respect to its local time
• scientific article; zbMATH DE number 3887571 (Why is no real title available?)
• Filtering of continuous-time Markov chains with noise-free observation and applications
• Optimal control of continuous-time Markov chains with noise-free observation
• The construction of filters in nonlinear deterministic systems
• Systematic approach to linear approximation of non-linear stochastic systems Part 2. Filtering hypothesis
• Data filtering‐based parameter estimation algorithms for a class of nonlinear systems with colored noises
• Instrumental variable method for systems with filtered white noise input
• Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
• AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS
• Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance
• A backward particle interpretation of Feynman-Kac formulae

This page was built for publication: Filtering for nonlinear systems driven by nonwhite noises:an approximation scheme

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3141174)