Finite-Dimensional Filters. Part II: Invariance Group Techniques

DOI10.1137/S0363012994270916MaRDI QIDQ4337728zbMATH OpenFDO

Authors M. Cohen de Lara

Publication date 26 May 1997

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

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)

Recommendations

• Finite-Dimensional Filters. Part I: The Wei--Norman Technique
• Finite dimensional realizations of stochastic p.d.e.'s and application to filtering
• Reduction of the Zakai equation by invariance group techniques

Cited in

(9)

• On drift, diffusion and geometry
• 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
• Translation Invariant Filters and van der Waerden’s Theorem
• The geometry of differential constraints for a class of evolution PDEs
• Second-Order-Optimal Minimum-Energy Filters on Lie Groups
• Reduction of the Zakai equation by invariance group techniques
• Some recent developments on Lie symmetry analysis of stochastic differential equations
• Weak symmetries of stochastic differential equations driven by semimartingales with jumps

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