Dual Nonlinear Filters and Entropy Production

DOI10.1137/050633809zbMath1143.93023OpenAlexW2078647673MaRDI QIDQ3525931

Nigel J. Newton

Publication date: 23 September 2008

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

Full work available at URL: https://doi.org/10.1137/050633809

zbMATH Keywords

information theorynonequilibrium statistical mechanicsdual filtersfinite-dimensional nonlinear filtersstatistical filteringentropic derivative

Mathematics Subject Classification ID

Bayesian inference (62F15) Filtering in stochastic control theory (93E11) Continuous-time Markov processes on general state spaces (60J25) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Measures of information, entropy (94A17)

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