Finite-Dimensional Filters. Part II: Invariance Group Techniques

DOI10.1137/S0363012994270916zbMATH Open0873.93079MaRDI QIDQ4337728FDOQ4337728

Authors: M. Cohen de Lara 

Publication date: 26 May 1997

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

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• Finite-Dimensional Filters. Part I: The Wei--Norman Technique
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• Reduction of the Zakai equation by invariance group techniques

zbMATH Keywords

Riemannian geometryfinite-dimensional realizationfinite-dimensional filtersbilinear stochastic partial differential equationinvariance group of a parabolic equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Second-order parabolic equations (35K10) Group actions and symmetry properties (58D19)

Cited In (9)

• The geometry of differential constraints for a class of evolution PDEs
• Translation Invariant Filters and van der Waerden’s Theorem
• On drift, diffusion and geometry
• 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
• Second-Order-Optimal Minimum-Energy Filters on Lie Groups

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