Nonlinear Filtering Revisited: A Spectral Approach
DOI10.1137/S0363012993248918zbMATH Open0873.60030OpenAlexW2178464435MaRDI QIDQ4337413FDOQ4337413
Authors: S. V. Lototsky, R. Mikulevicius, B. Rozovskii 
Publication date: 26 October 1997
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012993248918
Recommendations
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Nonlinear systems in control theory (93C10)
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- Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method
- Space semi-discretisations for a stochastic wave equation
- On strong convergence of a fully discrete scheme for solving stochastic strongly damped wave equations
- The suboptimal method via probabilists' Hermite polynomials to solve nonlinear filtering problems
- Certified offline-free reduced basis (COFRB) methods for stochastic differential equations driven by arbitrary types of noise
- A splitting/polynomial chaos expansion approach for stochastic evolution equations
- Particle filter for state estimation of jump Markov nonlinear system with application to multi-targets tracking
- Solving SPDEs driven by colored noise: A chaos approach
- Kernel-based collocation methods for Zakai equations
- The numerical approximation of stochastic partial differential equations
- Intrusive and non-intrusive chaos approximation for a two-dimensional steady state Navier-Stokes system with random forcing
- Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
- Towards hybrid system modeling of uncertain complex dynamical systems
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- Robust parameter estimation for stochastic differential equations
- Representations of the optimal filter in the context of nonlinear filtering of random fields with fractional noise
- Application of nonlinear filtering to credit risk
- Chaos approach to nonlinear filtering
- A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
- Wiener chaos expansions and numerical solutions of randomly forced equations of fluid mechanics
- An explicit solution of the linear filtering problem for certain classes of nonrational spectral densities
- On the nonlinear and nonnormal filter using rejection sampling
- \( L^2\)-regularity result for solutions of backward doubly stochastic differential equations
- The asymptotic error of chaos expansion approximations for stochastic differential equations
- Needles in a haystack: fast spatial search for targets in similar-looking backgrounds
- New method for optimal nonlinear filtering of noisy observations by multiple stochastic fractional integral expansions
- Author's reply to ``Comments on `performance evaluation of UKF-based nonlinear filtering'\,
- Numerical solutions of stochastic PDEs driven by arbitrary type of noise
- Fractional generalizations of Zakai equation and some solution methods
- Empirical regression method for backward doubly stochastic differential equations
- A simulation approach to optimal stopping under partial information
- Filtering with marked point process observations via Poisson chaos expansion
- Wiener chaos solutions of linear stochastic evolution equations
- A small time approximation for the solution to the Zakai equation
- Nonlinear filtering of diffusion processes in correlated noise: Analysis by separation of variables
- A branching particle system approximation for nonlinear stochastic filtering
- Hybrid estimation algorithms. II
- A survey of numerical methods for nonlinear filtering problems
- A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
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