A conditionally almost linear filtering problem with non-gaussian initial condition∗

DOI10.1080/17442508808833492zbMath0641.60050OpenAlexW2003295343MaRDI QIDQ3782530

Ulrich G. Haussmann, Etienne Pardoux

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833492

zbMATH Keywords

finite-dimensional filtersfiltering problemscorrelation between the signal and the observation noise

Mathematics Subject Classification ID

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

Related Items

On a new class of finite dimensional estimation algebras, Exact Finite-Dimensional Filter for Exponential Functionals of the State of Beneš Systems, Finite-dimensional filters with nonlinear drift. VI: Linear structure of \(\Omega\), Filtering of some nonlinear diffusions satisfying the general Beneš condition, Examples of optimal controls for linear stochastic control systems with partial observation, New explicit filters and smoothers for diffusions with nonlinear drift and measurements, Complete classification of finite-dimensional estimation algebras of maximal rank, On the stability of matrix-valued Riccati diffusions, A one-factor conditionally linear commodity pricing model under partial information, An approximate filter for a partially observed piecewise linear system with small observation noise, Asymptotic stability of beneš filters, Finite-dimensional filter for a class of nonlinear systems with correlated noises, Filtering problems for conditionally linear systems with non-Gaussian initial conditions

Cites Work

• Unnamed Item
• Unnamed Item
• New classes of finite-dimensional nonlinear filters
• New exact nonlinear filters with large Lie algebras
• Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
• State Estimation and Control of Conditionally Linear Systems