A local linearization approach to nonlinear filtering

DOI10.1080/00207179308934379MaRDI QIDQ4036109zbMATH OpenOpenAlexFDO

Authors Tohru Ozaki

Publication date 16 May 1993

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179308934379

zbMATH Keywords

continuous-timecontinuous time stochastic dynamical systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

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Cites work

• scientific article; zbMATH DE number 3586408 (Why is no real title available?)
• Algebraic and Geometric Methods in Nonlinear Filtering
• Orthogonal Projection and Discrete Optimal Linear Smoothing
• Stochastic processes and filtering theory

Cited in

(22)

• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• scientific article; zbMATH DE number 4145818 (Why is no real title available?)
• Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
• scientific article; zbMATH DE number 775841 (Why is no real title available?)
• Efficient computation of phi-functions in exponential integrators
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• A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• Dynamic systems with random structure: An approach to the generation of nonstationary stochastic processes
• Recent progresses on two suboptimal methods for nonlinear filtering problems
• Smoothing data with local instabilities for the identification of chaotic systems
• Generalized dissipative state estimation for discrete-time nonhomogeneous semi-Markov jump nonlinear systems
• Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
• Approximation of continuous time stochastic processes by the local linearization method revisited
• Nonlinear analysis of the BOLD signal
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
• Development of a variational scheme for model inversion of multi-area model of brain. I: Simulation evaluation
• High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
• Dynamic properties of the local linearization method for initial value problems.
• A nonlinear filtering technique for multi-oscillator systems
• Rate of convergence of local linearization schemes for initial-value problems
• A partially linearized sigma point filter for latent state estimation in nonlinear time series models

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