Solution of Filtering Problem with Nonlinear Observations

DOI10.1137/S0363012902411970MaRDI QIDQ5700561zbMATH OpenOpenAlexFDO

Authors Stephen Yau, Shing-Tung Yau

Publication date 28 October 2005

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012902411970

zbMATH Keywords

Kolmogorov equationfiltering problemreal time computationnonlinear observationsDMZ equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10)

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