scientific article; zbMATH DE number 1064826

MaRDI QIDQ4356175zbMATH OpenFDO

Authors S. V. Lototsky, B. Rozovskii

Publication date 8 September 1998

zbMATH Keywords

Wiener chaosnonlinear filteringrecursive filters

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Recommendations

• Wiener chaos and nonlinear filtering
• Chaos approach to nonlinear filtering
• Fourier-Hermite expansions for nonlinear filtering
• A nonlinear filtering algorithm based on an approximation of the conditional distribution

Cited in

(7)

• Spectral asymptotics of some functionals arising in statistical inference for SPDEs
• Chaos approach to nonlinear filtering
• Adaptive approximation of higher order posterior statistics
• Filtering with marked point process observations via Poisson chaos expansion
• A branching particle system approximation for nonlinear stochastic filtering
• Optimal structure of recurrent nonlinear filters of large order for diffusion signals
• Fourier-Hermite expansions for nonlinear filtering

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