A local linearization approach to nonlinear filtering

DOI10.1080/00207179308934379zbMATH Open0774.93078OpenAlexW2018050529MaRDI QIDQ4036109FDOQ4036109

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

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zbMATH Keywords

continuous-timecontinuous time stochastic dynamical systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Cites Work

• Stochastic processes and filtering theory
• Title not available (Why is that?)
• Algebraic and Geometric Methods in Nonlinear Filtering
• Orthogonal Projection and Discrete Optimal Linear Smoothing

Cited In (22)

• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Title not available (Why is that?)
• Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
• Title not available (Why is that?)
• Efficient computation of phi-functions in exponential integrators
• Non-Gaussian distribution for stock returns and related stochastic differential equation
• A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany
• Dynamic systems with random structure: An approach to the generation of nonstationary stochastic processes
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• 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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