Optimal projection filters with information geometry

DOI10.1007/S41884-023-00108-XOpenAlexW4379230691MaRDI QIDQ6138810FDOQ6138810

Authors: John Armstrong, Damiano Brigo, B. Hanzon 

Publication date: 16 January 2024

Published in: Information Geometry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s41884-023-00108-x

zbMATH Keywords

stochastic partial differential equationsstochastic differential equationsnonlinear filteringprojection filtersItô-jet projectionItô-vector projectionoptimal projection filtersSPDEs projection on a submanifoldStratonovich projectionStratonovich projection filters

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes and stochastic analysis on manifolds (58J65) Numerical aspects of computer graphics, image analysis, and computational geometry (65D18) Jets in global analysis (58A20)

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