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

DOI10.1137/S0363012994270904zbMATH Open0873.93078OpenAlexW2123359798MaRDI QIDQ4337727FDOQ4337727

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

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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)

Cited In (8)

• The weyl algebra and finite dimensional filtering
• The geometry of differential constraints for a class of evolution PDEs
• Title not available (Why is that?)
• Weak symmetries of stochastic differential equations driven by semimartingales with jumps
• Some recent developments on Lie symmetry analysis of stochastic differential equations
• Title not available (Why is that?)
• 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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