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

nonlinear filteringfinite dimensional filters

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 3388297 (Why is no real title available?)
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Explicit solutions to a class of nonlinear filtering problems
• New classes of finite-dimensional nonlinear filters
• On the optimal filtering of diffusion processes
• Stochastic processes and filtering theory
• Supervised learning sequential structure and parameter adaptive pattern recognition: Discrete data case (Corresp.)

Cited in

(7)

• Filtering of some nonlinear diffusions satisfying the general Beneš condition
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Exact filters for certain moments and stochastic integrals of the state of systems with Benes nonlinearity
• A comparative study of the Benes filtering problem
• On the Reference Probability Approach to the Equations of Non-Linear Filtering
• On some finite dimensional nonlinear filters for certain diffusions observed in correlated noise
• On the joint nonlinear filtering-smoothing of diffusion processes

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