Optimal structure of recurrent nonlinear filters of large order for diffusion signals

DOI10.1007/s10958-020-05005-7zbMath1448.93331OpenAlexW3082557727MaRDI QIDQ2199053

E. A. Rudenko

Publication date: 16 September 2020

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-020-05005-7

zbMATH Keywords

diffusion signalsoptimal mean-square estimationrecurrent nonlinear filters

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Optimal continuous-discrete nonlinear finite memory filter with discrete predictions
• Low-order discrete linear filters: Their optimal structure
• Optimal discrete nonlinear filters of the objects's order and their Gaussian approximations
• A survey of numerical methods for nonlinear filtering problems
• Stochastic processes and filtering theory
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