Extending the theory of Liptser-Shiryaev filters

DOI10.1134/S0005117920040037MaRDI QIDQ827963zbMATH OpenOpenAlexFDO

Authors I. N. Sinitsyn, V. I. Sinitsyn, E. R. Korepanov

Publication date 14 January 2021

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117920040037

zbMATH Keywords

conditionally optimal Pugachev filteringgeneralized Kalman-Bucy filterLiptser-Shiryaev filtersnormal (Gaussian) filterstochastic systemsuboptimal filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

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• scientific article; zbMATH DE number 3984189 (Why is no real title available?)
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• scientific article; zbMATH DE number 3998900 (Why is no real title available?)
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• Stochastic systems. Theory and applications. Transl. from the Russian manuscript by I. V. Sinitsyna

Cited in

(4)

• Linear Kalman-Bucy filter with vector autoregressive signal and noise
• Measure filters: An extension of Weiner's Theorem
• Shaping filters and the upward continuation problem
• On extending classical filtering equations

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