A local linearization approach to nonlinear filtering

DOI10.1080/00207179308934379zbMath0774.93078OpenAlexW2018050529MaRDI QIDQ4036109

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)

Related Items (16)

Approximation of continuous time stochastic processes by the local linearization method revisited ⋮ Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise ⋮ Generalized dissipative state estimation for discrete-time nonhomogeneous semi-Markov jump nonlinear systems ⋮ Development of a variational scheme for model inversion of multi-area model of brain. I: Simulation evaluation ⋮ Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise ⋮ Smoothing data with local instabilities for the identification of chaotic systems ⋮ High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise ⋮ Dynamic systems with random structure: An approach to the generation of nonstationary stochastic processes ⋮ The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach ⋮ Rate of convergence of local linearization schemes for initial-value problems ⋮ 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 ⋮ Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model ⋮ Efficient computation of phi-functions in exponential integrators ⋮ Estimation for nonlinear stochastic differential equations by a local linearization method¹ ⋮ Dynamic properties of the local linearization method for initial value problems.

Cites Work

• Stochastic processes and filtering theory
• Algebraic and Geometric Methods in Nonlinear Filtering
• Orthogonal Projection and Discrete Optimal Linear Smoothing
• Unnamed Item

This page was built for publication: A local linearization approach to nonlinear filtering