Solving approximately an optimal nonlinear filtering problem for stochastic differential systems by statistical modeling

DOI10.1134/S1995423913040071MaRDI QIDQ5407776zbMATH OpenFDO

Authors K. A. Rybakov

Publication date 7 April 2014

Published in Numerical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo methodbranching processconditional densitystochastic systemDuncan-Mortensen-Zakai equationoptimal filtering problem

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03)

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Cited in

(10)

• scientific article; zbMATH DE number 3922501 (Why is no real title available?)
• Systematic approach to linear approximation of non-linear stochastic systems Part 2. Filtering hypothesis
• Rosenbrock-type methods for solving stochastic differential equations
• Optimal structure of continuous nonlinear reduced-order Pugachev filter
• Reducing the nonlinear filtering problem to the analysis of stochastic systems with terminating and branching paths
• Modified statistical algorithms for filtering and extrapolation in continuous-time stochastic systems
• Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method
• Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences
• Estimation of indirectly observable Langevin states: path integral solution using statistical physics methods
• Solving approximately a prediction problem for stochastic jump-diffusion systems

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