Reduction of the Zakai equation by invariance group techniques

DOI10.1016/S0304-4149(97)00096-3zbMath0933.93071OpenAlexW2011911107MaRDI QIDQ1965905

M. Cohen de Lara

Publication date: 1 March 2000

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(97)00096-3

zbMATH Keywords

trackingRiemannian geometryfilteringZakai equationinvariant solution

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) System structure simplification (93B11) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (2)

On drift, diffusion and geometry ⋮ Some recent developments on Lie symmetry analysis of stochastic differential equations

Cites Work

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• A note on the symmetry group and perturbation algebra of a parabolic partial differential equation
• Finite dimensional realizations of stochastic p.d.e.'s and application to filtering
• Finite-Dimensional Filters. Part I: The Wei--Norman Technique
• Finite-Dimensional Filters. Part II: Invariance Group Techniques
• On the optimal filtering of diffusion processes

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