On linear filtering under dependent wide-band noise

DOI10.1080/17442508808833502zbMath0645.60047OpenAlexW2034053995MaRDI QIDQ3788816

Agamirza E. Bashirov

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833502

zbMATH Keywords

dualityfiltering problems and control problemsmild-evolution operators

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20)

Related Items (4)

Filtering, smoothing and prediction for wide-band noise driven linear systems ⋮ Linear filtering for wide band noise driven observation systems ⋮ Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems ⋮ Representation of systems disturbed by wide band noise

Cites Work

• Optimal control of partially observed systems with arbitrary dependent noises: linear quadratic case
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Quadratic Control of Evolution Equations with Delays in Control
• Estimation Theory for Abstract Evolution Equations Excited by General White Noise Processes
• The Infinite-Dimensional Riccati Equation for Systems Defined by Evolution Operators

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