New explicit filters and smoothers for diffusions with nonlinear drift and measurements

DOI10.1016/S0167-6911(97)00095-9zbMath0902.93064OpenAlexW2061919930MaRDI QIDQ1128534

Robert J. Elliott, Charalambos D. Charalambous

Publication date: 13 August 1998

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

Full work available at URL: https://doi.org/10.1016/s0167-6911(97)00095-9

zbMATH Keywords

smoothingnonlinear filteringfinite-dimensionalityGirsanov's measure transformations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Data smoothing in stochastic control theory (93E14)

Related Items (2)

Finite Dimensional Estimation Algebras with State Dimension 3 and rank 2, I: Linear Structure of Wong Matrix ⋮ Finite dimensional estimation algebras with state dimension 3 and rank 2, Mitter conjecture

Cites Work

• On the Relation of Zakai’s and Mortensen’s Equations
• A conditionally almost linear filtering problem with non-gaussian initial condition^∗
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems
• Partially observable nonlinear risk-sensitive control problems: dynamic programming and verification theorems
• Classes of Nonlinear Partially Observable Stochastic Optimal Control Problems with Explicit Optimal Control Laws
• General finite-dimensional risk-sensitive problems and small noise limits
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