Discrete approximation of nonlinear filtering for stochastic delay equations
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Cites work
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- A theorem on duality between estimation and control for linear stochastic systems with time delay
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- An approximation for the nonlinear filtering problem, with error bound†
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- Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
- Filter Stability for Stochastic Evolution Equations
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
- On measure transformations for combined filtering and parameter estimation in discrete time
- On the optimal filtering of diffusion processes
- On the stability of processes defined by stochastic difference- differential equations
- Optimal control of linear stochastic systems with applications to time lag systems
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Cited in
(11)- Convergence in Nonlinear Filtering for Stochastic Delay Systems
- On nonlinear filtering problems for discrete time stochastic processes
- Discrete time Galerkin approximations to the nonlinear filtering solution
- Lowpass filter-based continuous-time approximation of delayed dynamical systems
- Approximation of Nonlinear Filters for Markov Systems with Delayed Observations
- Discrete approximations of controlled stochastic systems with memory: a survey
- Discretization and FIR filtering of continuous linear systems with internal and external point delays
- Filtering on nonlinear time-delay stochastic systems
- scientific article; zbMATH DE number 2086138 (Why is no real title available?)
- Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme
- On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series
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