Discrete approximation of nonlinear filtering for stochastic delay equations

DOI10.1080/07362998708809117zbMATH Open0638.93080OpenAlexW2055784968MaRDI QIDQ3780977FDOQ3780977

Authors: Mou-Hsiung Chang 

Publication date: 1987

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362998708809117

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zbMATH Keywords

weak convergencenonlinear filteringstochastic delay equationsEuler-type approximationpartially observable process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Control problems for functional-differential equations (34K35) Nonlinear systems in control theory (93C10)

Cites Work

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• Continuous-time approximations for the nonlinear filtering problem
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Cited In (11)

• Lowpass filter-based continuous-time approximation of delayed dynamical systems
• Discretization and FIR filtering of continuous linear systems with internal and external point delays
• Discrete approximations of controlled stochastic systems with memory: a survey
• On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series
• On nonlinear filtering problems for discrete time stochastic processes
• Approximation of Nonlinear Filters for Markov Systems with Delayed Observations
• Convergence in Nonlinear Filtering for Stochastic Delay Systems
• Title not available (Why is that?)
• Filtering on nonlinear time-delay stochastic systems
• Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme
• Discrete time Galerkin approximations to the nonlinear filtering solution

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