An extension of the Beneš filter and some identification problems solved by nonlinear filtering methods

DOI10.1016/0167-6911(84)90003-3MaRDI QIDQ801869zbMATH OpenOpenAlexFDO

Authors Ofer Zeitouni

Publication date 1984

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(84)90003-3

zbMATH Keywords

finite dimensional filtersnonlinear filtering

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

Review text

The author extends some nonlinear filtering examples of \textit{V. Beneš} [Stochastics 5, 65-92 (1981; Zbl 0458.60030)] to include unknown initial conditions and time dependent drift terms. These results give examples of nonlinear filtering problems that possess finite dimensional filters. Some identification problems are also considered.

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Cites work

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Cited in

(8)

• On some finite dimensional nonlinear filters for certain diffusions observed in correlated noise
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• On the joint nonlinear filtering-smoothing of diffusion processes
• Filtering of some nonlinear diffusions satisfying the general Beneš condition
• On the Reference Probability Approach to the Equations of Non-Linear Filtering
• Exact filters for certain moments and stochastic integrals of the state of systems with Benes nonlinearity
• scientific article; zbMATH DE number 880150 (Why is no real title available?)
• A comparative study of the Benes filtering problem

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