Fixed-Point Smoothing of Scalar Diffusions I: An Asymptotically Optimal Smoother

DOI10.1137/S0036139990188904zbMath0806.60031MaRDI QIDQ4305386

Zeev Schuss, Ben Zion Bobrovsky, Y. Steinberg

Publication date: 13 October 1994

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equation; optimal filter; filtering problem; fixed-point smoothing problem; Zakai- type equation

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60G35: Signal detection and filtering (aspects of stochastic processes)

35R60: PDEs with randomness, stochastic partial differential equations

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