Exact finite-dimensional filters for certain diffusions with nonlinear drift

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Cited in

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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
Finite-dimensional filter for a class of nonlinear systems with correlated noises
Central limit theorem for nonlinear filtering and interacting particle systems
Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
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A partial history of the early development of continuous-time nonlinear stochastic systems theory
A class of solvable nonlinear filters
On a new class of finite dimensional estimation algebras
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Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric
Current algebras and the identification problem
Deterministic feedback linearization, Girsanov transformations and finite-dimensional filters
Hessian matrix non-decomposition theorem and its application to nonlinear filtering
Approximate finite-dimensional filtering for polynomial states over polynomial observations
Direct method for Yau filtering system with nonlinear observations
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
Kernel-based collocation methods for Zakai equations
Asymptotic stability of beneš filters
Finite dimensional estimation algebras with state dimension 3 and rank 2, Mitter conjecture
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New explicit filters and smoothers for diffusions with nonlinear drift and measurements
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Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel
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On lie algebras and finite dimensional filtering
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Mean-square data-based controller for nonlinear polynomial systems with multiplicative noise
Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems
Root-mean-square filtering of the state of polynomial stochastic systems with multiplicative noise
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Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises
Optimal filtering for incompletely measured polynomial systems with multiplicative noise
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Optimal controller for uncertain stochastic polynomial systems
Structure of finite dimensional exact estimation algebra on state dimension 3 and linear rank 2*
The early days of geometric nonlinear control
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Some recent results in finitely additive white noise theory
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Convergence of empirical processes for interacting particle systems with applications to nonlinear filtering
Analysis of algorithms of numerical implementations for the Wonham filter under uncertainty in measurements noise covariance
Central suboptimal \(H_{\infty}\) filter design for nonlinear polynomial systems
Explicit filters for diffusions with certain nonlinear drifts^†
Splitting-up spectral method for nonlinear filtering problems with correlation noises
Adaptive approximation of higher order posterior statistics
A bound approach to asymptotic optimality in non-linear filtering of diffusion processes
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The Hitchhiker's guide to nonlinear filtering
Sliding mode filtering for stochastic systems with polynomial state and observation equations
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On the filtering problem for continuous-time Markov jump linear systems with no observation of the Markov chain
New classes of finite-dimensional nonlinear filters
Fast continuous-discrete DAF-filters
Continuous finite-dimensional locally optimal filtering of jump diffusions
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
On the Reference Probability Approach to the Equations of Non-Linear Filtering
Des resultats de non existence de filtre de dimension finie
A small time approximation for the solution to the Zakai equation
Momentum-space approach to asymptotic expansion for stochastic filtering
On measure transformations for combined filtering and parameter estimation in discrete time
Exact finite-dimensional filter for exponential functionals of the state of Beneš systems
Nonlinear filtering problems with finite-dimensional matrix estimation algebras
An energy-based deep splitting method for the nonlinear filtering problem
Optimal filter realization for a class of nonlinear systems with finite- dimensional estimation algebra
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Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
New classes of finite dimensional filters with nonmaximal rank estimation algebra on state dimension \(n\) and linear rank \(n-2\)
Monte Carlo methods for backward equations in nonlinear filtering
Partially observable optimal control using exponential cost criterion
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
Discrete-time linear skew-Gaussian system and its recursive fixed-dimensional exact density filtering
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
A nonlinear partially observed differential game with a finite-dimensional information state
On the joint nonlinear filtering-smoothing of diffusion processes
Complete classification of finite-dimensional estimation algebras of maximal rank
Explicit solution of a Kolmogorov equation

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