Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation
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Publication:1374637
DOI10.1016/S0304-4149(96)00086-5zbMath0879.93054OpenAlexW2093539345MaRDI QIDQ1374637
Y. Steinberg, Ben Zion Bobrovsky, Zeev Schuss, Robert Sh. Liptser
Publication date: 10 December 1997
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4149(96)00086-5
Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)
Cites Work
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- On the joint nonlinear filtering-smoothing of diffusion processes
- Smoothing algorithms for nonlinear finite-dimensional systems
- On optimal linear smoothing theory
- ON STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
- Fixed-Point Smoothing of Scalar Diffusions I: An Asymptotically Optimal Smoother
- On the optimal filtering of diffusion processes
- Nonlinear Smoothing Theory
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