An infinite expansion for nonlinear filtering

DOI10.1016/0304-4149(94)90049-3zbMath0810.62086OpenAlexW1979073422MaRDI QIDQ1336979

Rui J. P. de Figueiredo, Yu Yaoqi

Publication date: 8 November 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90049-3

zbMATH Keywords

conditional expectationinnovation processIto formulasemimartingalepredictable processpartially observed systemfiltering equationinfinite series expansion of nonlinear filterssums of multiple stochastic Ito integrals

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)

Cites Work

• Multiple Integral Expansions for Nonlinear Filtering
• Convergence of the calculation of the innovation process
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