A novel filtering framework through Girsanov correction for the identification of nonlinear dynamical systems

DOI10.1088/0266-5611/29/6/065002zbMath1272.93119OpenAlexW2006838329WikidataQ60585152 ScholiaQ60585152MaRDI QIDQ2852279

Ram Mohan Vasu, Tara Raveendran, Saikat Sarkar, Debasish Roy

Publication date: 8 October 2013

Published in: Inverse Problems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/0266-5611/29/6/065002

zbMATH Keywords

nonlinear dynamical systemsGirsanov corrected particle filterinverse problem of state and parameter estimationsnonlinear stochastic differential equations (SDEs)

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Variable structure systems (93B12)

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Weakly corrected numerical solutions to stochastically driven nonlinear dynamical systems

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