On Linearization of Stochastic Differential Equations of Optimal Nonlinear Filtering

DOI10.1137/1125051zbMath0456.60043OpenAlexW2003774634MaRDI QIDQ3906195

L. G. Vetrov

Publication date: 1980

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1125051

zbMATH Keywords

linearisationoptimal nonlinear filtering

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)

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