Approximation of Nonlinear Filters for Markov Systems with Delayed Observations

DOI10.1137/050623504MaRDI QIDQ3427784zbMATH OpenOpenAlexFDO

Authors Patrick Florchinger, Antonella Calzolari, Giovanna Nappo

Publication date 27 March 2007

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL http://www.mat.uniroma1.it/people/nappo/papers.pdf/delayapproxSIAM-revised.pdf

zbMATH Keywords

Markov processesjump processesnonlinear filteringapproximation of stochastic processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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• scientific article; zbMATH DE number 2086138

Cited in

(7)

• A Markov Approach to Nonlinear Multivariate Delay Systems with Noise
• Discrete approximations of controlled stochastic systems with memory: a survey
• Extended and unscented filtering algorithms using one-step randomly delayed observations
• Nonlinear Filtering for Markov Systems with Delayed Observations
• Stochastic filtering for multiscale stochastic reaction networks based on hybrid approximations
• Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme
• Recursive estimation of discrete-time signals from nonlinear randomly delayed observations

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