Nonlinear smoothing algorithms using white noise model

DOI10.1080/17442508608833394zbMath0596.60044OpenAlexW2049749988MaRDI QIDQ3729760

Arunabha Bagchi

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833394

zbMATH Keywords

filteringZakai equationsmoothing problembackward stochastic integrals

Mathematics Subject Classification ID

Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• A finitely additive white noise approach to nonlinear filtering
• Radon-Nikodym derivatives of a class of weak distributions on Hilbert spaces
• Reverse-time diffusion equation models
• Smoothing algorithms for nonlinear finite-dimensional systems
• Fixed interval smoothing for nonlinear continuous time systems
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