Classification of Estimation Algebras with State Dimension 2

DOI10.1137/S036301290443991XzbMath1116.93052MaRDI QIDQ3440251

Xi Wu, Stephen Shing-Toung Yau

Publication date: 22 May 2007

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

finite-dimensional filterestimation algebranonlinear drift

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Second-order elliptic equations (35J15)

Related Items

Log-Concave Posterior Densities Arising in Continuous Filtering and a Maximum A Posteriori Algorithm ⋮ Structure of finite dimensional exact estimation algebra on state dimension 3 and linear rank 2* ⋮ Finite Dimensional Estimation Algebras with State Dimension 3 and rank 2, I: Linear Structure of Wong Matrix ⋮ Hessian matrix non-decomposition theorem and its application to nonlinear filtering ⋮ Finite dimensional estimation algebras with state dimension 3 and rank 2, Mitter conjecture ⋮ Mitter conjecture for low dimensional estimation algebras in non-linear filtering† ⋮ New Classes of Finite Dimensional Filters with Nonmaximal Rank Estimation Algebra on State Dimension $n$ and Linear Rank $n-2$ ⋮ The novel classes of finite dimensional filters with non-maximal rank estimation algebra on state dimension four and rank of one ⋮ Structure theorem for five-dimensional estimation algebras ⋮ Mitter conjecture and structure theorem for six-dimensional estimation algebras