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

DOI10.1134/S1995423913040071zbMATH Open1299.93268MaRDI QIDQ5407776FDOQ5407776

Authors: K. A. Rybakov 

Publication date: 7 April 2014

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

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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)

Cited In (10)

• Optimal structure of continuous nonlinear reduced-order Pugachev filter
• Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method
• Estimation of indirectly observable Langevin states: path integral solution using statistical physics methods
• Reducing the nonlinear filtering problem to the analysis of stochastic systems with terminating and branching paths
• Rosenbrock-type methods for solving stochastic differential equations
• Systematic approach to linear approximation of non-linear stochastic systems Part 2. Filtering hypothesis
• Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences
• Modified statistical algorithms for filtering and extrapolation in continuous-time stochastic systems
• Title not available (Why is that?)
• Solving approximately a prediction problem for stochastic jump-diffusion systems

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