Explicit filters for diffusions with certain nonlinear drifts†

DOI10.1080/17442508208833224zbMath0493.93052OpenAlexW1985142115MaRDI QIDQ3956836

John S. Baras, Steven I. Marcus, Daniel L. Ocone

Publication date: 1982

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508208833224

zbMATH Keywords

conditional momentsmoothing estimatesnon-linear filteringfinite dimensional filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Data smoothing in stochastic control theory (93E14) Diffusion processes (60J60)

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Cites Work

• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Algebraic Structure and Finite Dimensional Nonlinear Estimation

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