Finite-Dimensional Filters. Part I: The Wei--Norman Technique

DOI10.1137/S0363012994270904MaRDI QIDQ4337727zbMATH OpenOpenAlexFDO

Authors M. Cohen de Lara

Publication date 26 May 1997

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012994270904

zbMATH Keywords

finite-dimensional filtersfinite-dimensional realizationsestimation Lie algebrabilinear stochastic partial differential equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) General properties and structure of real Lie groups (22E15) One-parameter semigroups and linear evolution equations (47D06)

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Cited in

(8)

• The weyl algebra and finite dimensional filtering
• The geometry of differential constraints for a class of evolution PDEs
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• Weak symmetries of stochastic differential equations driven by semimartingales with jumps
• Some recent developments on Lie symmetry analysis of stochastic differential equations
• scientific article; zbMATH DE number 434622 (Why is no real title available?)
• Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering
• Reduction of the Zakai equation by invariance group techniques

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