Filtering of some nonlinear diffusions satisfying the general Beneš condition

DOI10.1016/0167-6911(88)90079-5zbMath0667.93103OpenAlexW2025920534MaRDI QIDQ1117891

Tadeusz Banek

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0167-6911(88)90079-5

zbMATH Keywords

diffusionFeynman-Kac formulatwo-dimensional Wiener processKallianpur-Striebel formulaBeneš filters

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Diffusion processes (60J60)

Cites Work

• Unnamed Item
• An extension of the Beneš filter and some identification problems solved by nonlinear filtering methods
• On the Reference Probability Approach to the Equations of Non-Linear Filtering
• A conditionally almost linear filtering problem with non-gaussian initial condition^∗
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Explicit filters for diffusions with certain nonlinear drifts^†
• On the optimal filtering of diffusion processes
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors

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