Real Time Solution of the Nonlinear Filtering Problem without Memory II

DOI10.1137/050648353zbMath1172.35411OpenAlexW2041380796MaRDI QIDQ3614791

Stephen Shing-Toung Yau, Shing Tung Yau

Publication date: 10 March 2009

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

Full work available at URL: https://doi.org/10.1137/050648353

zbMATH Keywords

conditional probability densityKolmogorov equationDuncan-Mortensen-ZakaiDMZ equation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Error bounds for boundary value problems involving PDEs (65N15) Signal detection and filtering (aspects of stochastic processes) (60G35) Initial value problems for second-order parabolic equations (35K15)

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General convergence result for continuous-discrete feedback particle filter ⋮ Log-Concave Posterior Densities Arising in Continuous Filtering and a Maximum A Posteriori Algorithm ⋮ Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method ⋮ Structure of finite dimensional exact estimation algebra on state dimension 3 and linear rank 2* ⋮ A novel suboptimal method for solving polynomial filtering problems ⋮ New Classes of Finite Dimensional Filters with Nonmaximal Rank Estimation Algebra on State Dimension $n$ and Linear Rank $n-2$ ⋮ The suboptimal method via probabilists' Hermite polynomials to solve nonlinear filtering problems

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