Exact finite-dimensional filters for certain diffusions with nonlinear drift

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Cited In (99)

Finite-dimensional filter for a class of nonlinear systems with correlated noises
Filtering of some nonlinear diffusions satisfying the general Beneš condition
An extension of the Beneš filter and some identification problems solved by nonlinear filtering methods
NONLINEAR DYNAMICAL SYSTEM IDENTIFICATION FROM UNCERTAIN AND INDIRECT MEASUREMENTS
Central limit theorem for nonlinear filtering and interacting particle systems
A partial history of the early development of continuous-time nonlinear stochastic systems theory
Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
A class of solvable nonlinear filters
On a new class of finite dimensional estimation algebras
Optimal controller for stochastic polynomial systems with state-dependent polynomial input
Current algebras and the identification problem
Nonlinear filtering via stochastic PDE projection on mixture manifolds in $L^2$ direct metric
Deterministic feedback linearization, Girsanov transformations and finite-dimensional filters
Approximate finite-dimensional filtering for polynomial states over polynomial observations
Asymptotic stability of beneš filters
Nonlinear system immersion, observers and finite-dimensional filters
On asymptotic stability of continuous-time risk-sensitive filters with respect to initial conditions
Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel
New explicit filters and smoothers for diffusions with nonlinear drift and measurements
On lie algebras and finite dimensional filtering
Finite-dimensional solutions of a modified Zakai equation
Mean-square data-based controller for nonlinear polynomial systems with multiplicative noise
Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems
Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises
Root-mean-square filtering of the state of polynomial stochastic systems with multiplicative noise
Interactive statistical mechanics and nonlinear filtering
New Classes of Finite Dimensional Filters with Nonmaximal Rank Estimation Algebra on State Dimension $n$ and Linear Rank $n-2$
Optimal filtering for incompletely measured polynomial states over linear observations
Optimal filtering for incompletely measured polynomial systems with multiplicative noise
Optimal filtering for polynomial system states with polynomial multiplicative noise
Control: a perspective
Optimal controller for uncertain stochastic polynomial systems
The early days of geometric nonlinear control
Joint state filtering and parameter estimation for linear stochastic time-delay systems
On the stochastic differential equations of filtering theory
Optimal finite-dimensional recursive identification in a polynomial output mapping class
Explicit filters for diffusions with certain nonlinear drifts^†
Central suboptimal $H_{\infty}$ filter design for nonlinear polynomial systems
A bound approach to asymptotic optimality in non-linear filtering of diffusion processes
Adaptive approximation of higher order posterior statistics
Large deviations for interacting particle systems: Applications to non-linear filtering
A simulation approach to optimal stopping under partial information
Fast continuous-discrete DAF-filters
Discussion on: ``On the filtering problem for continuous-time Markov jump linear systems with no observation of the Markov chain
On the filtering problem for continuous-time Markov jump linear systems with no observation of the Markov chain
Continuous finite-dimensional locally optimal filtering of jump diffusions
New classes of finite-dimensional nonlinear filters
On the Reference Probability Approach to the Equations of Non-Linear Filtering
On the non-existence of stationary diffusions which satisfy the Benes condition
New exact nonlinear filters with large Lie algebras
Exact finite-dimensional filters via systems realization for a class of discrete-time nonlinear systems
Des resultats de non existence de filtre de dimension finie
Momentum-space approach to asymptotic expansion for stochastic filtering
On measure transformations for combined filtering and parameter estimation in discrete time
Nonlinear filtering problems with finite-dimensional matrix estimation algebras
Optimal filter realization for a class of nonlinear systems with finite- dimensional estimation algebra
Monte Carlo methods for backward equations in nonlinear filtering
Expressing stochastic filters via number sequences
On some finite dimensional nonlinear filters for certain diffusions observed in correlated noise
A survey of numerical methods for nonlinear filtering problems
Optimal LQG controller for linear stochastic systems with unknown parameters
Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
A novel suboptimal method for solving polynomial filtering problems
On the joint nonlinear filtering-smoothing of diffusion processes
A nonlinear partially observed differential game with a finite-dimensional information state
Explicit solution of a Kolmogorov equation
Mean Field Games with Partial Observation
The geometry of differential constraints for a class of evolution PDEs
Estimation of indirectly observable Langevin states: path integral solution using statistical physics methods
Exact Finite-Dimensional Filter for Exponential Functionals of the State of Beneš Systems
Hessian matrix non-decomposition theorem and its application to nonlinear filtering
Direct method for Yau filtering system with nonlinear observations
Finite Dimensional Estimation Algebras with State Dimension 3 and rank 2, I: Linear Structure of Wong Matrix
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
Mean-square filter design for stochastic polynomial systems with Gaussian and Poisson noises
Stability of the optimal filter in continuous time: beyond the Beneš filter
Finite dimensional estimation algebras with state dimension 3 and rank 2, Mitter conjecture
The Discriminative Kalman Filter for Bayesian Filtering with Nonlinear and Nongaussian Observation Models
Kernel-based collocation methods for Zakai equations
A note on the symmetry group and perturbation algebra of a parabolic partial differential equation
On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
On linear filtering under dependent wide-band noise
Output mini-max control for polynomial systems: analysis and applications
Structure of finite dimensional exact estimation algebra on state dimension 3 and linear rank 2*
The stochastic filtering problem: a brief historical account
Maximum likelihood estimation of latent Markov models using closed-form approximations
Analysis of algorithms of numerical implementations for the Wonham filter under uncertainty in measurements noise covariance
Convergence of empirical processes for interacting particle systems with applications to nonlinear filtering
On the small time behavior of the nonlinear estimation problem for finite bandwidth signals
Some recent results in finitely additive white noise theory
Splitting-up spectral method for nonlinear filtering problems with correlation noises
Sliding mode filtering for stochastic systems with polynomial state and observation equations
The Hitchhiker's guide to nonlinear filtering
A small time approximation for the solution to the Zakai equation
An energy-based deep splitting method for the nonlinear filtering problem
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Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
Discrete-time linear skew-Gaussian system and its recursive fixed-dimensional exact density filtering
Complete classification of finite-dimensional estimation algebras of maximal rank

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