Finite-dimensional filters with nonlinear drift X: explicit solution of DMZ equation

DOI10.1109/9.898707MaRDI QIDQ4540200zbMATH OpenOpenAlexFDO

Authors Guoqing Hu, Stephen Yau

Publication date 21 July 2002

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.898707

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical solutions to stochastic differential and integral equations (65C30) Filtering in stochastic control theory (93E11)

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• Finite dimensional filters with nonlinear drift. XI: Explicit solution of the generalized Kolmogorov equation in Brockett-Mitter program
• Finite-dimensional filters with nonlinear drift. VI: Linear structure of \(\Omega\)
• Explicit solution of a Kolmogorov equation
• Quadratic stabilization for uncertain stochastic systems
• Direct method for Yau filtering system with nonlinear observations
• Log-Concave Posterior Densities Arising in Continuous Filtering and a Maximum A Posteriori Algorithm
• Explicit convergence analyses of PDE-based filtering algorithms

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