Multiple Integral Expansions for Nonlinear Filtering

DOI10.1080/17442508308833260zbMath0517.60046OpenAlexW2096321480MaRDI QIDQ3665980

Daniel L. Ocone

Publication date: 1983

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508308833260

zbMATH Keywords

optimal filtermultiplication formulasuboptimal filter

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) Stochastic integrals (60H05)

Related Items

An infinite expansion for nonlinear filtering ⋮ Approximate and limit results for nonlinear filters with wide bandwith observation noise ⋮ Filtering with marked point process observations via Poisson chaos expansion ⋮ New method for optimal nonlinear filtering of noisy observations by multiple stochastic fractional integral expansions ⋮ A class of solvable nonlinear filters ⋮ Kusuoka-Stroock gradient bounds for the solution of the filtering equation ⋮ Representations of the optimal filter in the context of nonlinear filtering of random fields with fractional noise ⋮ Wiener chaos solutions of linear stochastic evolution equations ⋮ Optimal Fourier-Hermite expansion for estimation ⋮ Chaos expansion for the solutions of stochastic differential equations ⋮ Nonlinear filtering of semi-Dirichlet processes ⋮ Approximating multiple itô integrals with "band limited" processes

Cites Work

• Unnamed Item
• Unnamed Item
• The square of a Gaussian Markov process and nonlinear prediction
• Generalized multiple Wiener integrals
• Multiple Wiener integral
• Explicit solutions to a class of nonlinear filtering problems
• Algebraic Structure and Finite Dimensional Nonlinear Estimation
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors