Explicit solution of DMZ equation in nonlinear filtering via solution of ODEs

DOI10.1109/TAC.2003.809169MaRDI QIDQ5266925zbMATH OpenFDO

Authors Yuen-Tai Lai, Stephen Yau

Publication date 20 June 2017

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

Full work available at URL https://doi.org/10.1109/TAC.2003.809169

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Cited in

(3)

• Estimation of indirectly observable Langevin states: path integral solution using statistical physics methods
• Direct method for Yau filtering system with nonlinear observations
• Explicit convergence analyses of PDE-based filtering algorithms

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