scientific article; zbMATH DE number 4004041

MaRDI QIDQ3755338zbMATH OpenFDO

Authors Arthur Krener

Publication date 1986

zbMATH Keywords

Girsanov transformationlinear filtersnonlinear filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Linear systems in control theory (93C05) Nonlinear systems in control theory (93C10) Filtering in stochastic control theory (93E11)

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• Finite-dimensional approximations for the equation of nonlinear filtering derived in mild form
• A simple asymptotically optimal filter over an infinite horizon
• The identification of diffusions from imperfect observations
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