Approximation of optimal filter for Ornstein-Uhlenbeck process with quantised discrete-time observation

DOI10.1080/00207179.2017.1282627MaRDI QIDQ4568043zbMATH OpenOpenAlexFDO

Authors Piotr Bania, Jerzy Baranowski

Publication date 20 June 2018

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179.2017.1282627

zbMATH Keywords

Fokker-Planck equationoptimal filteringquantizationnonlinear filtersquantized data

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Fokker-Planck equations (35Q84) Estimation and detection in stochastic control theory (93E10) Digital control/observation systems (93C62)

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Cites work

• scientific article; zbMATH DE number 5822909 (Why is no real title available?)
• scientific article; zbMATH DE number 5681750 (Why is no real title available?)
• A table of normal integrals
• Approximate estimation for systems with quantized data
• Convergence of Laguerre impulse response approximation for noninteger order systems
• Nonlinear estimation with quantized measurements--PCM, predictive quantization, and data compression
• On Event Based State Estimation
• Optimal recursive state estimation with quantized measurements
• State estimation for linear discrete-time systems using quantized measurements
• Statistical results for system identification based on quantized observations
• The Fokker-Planck equation. Methods of solution and applications.

Cited in

(3)

• Some solvable classes of filtering problem with Ornstein-Uhlenbeck noise
• Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process
• Quantization Based Filtering Method Using First Order Approximation

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