Nonlinear Filtering Formulas for Discrete-Time Observations

DOI10.1137/0319017zbMath0457.93054OpenAlexW2015511435MaRDI QIDQ3907513

Hajime Akashi, Yoshiki Takeuchi

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1137/0319017

zbMATH Keywords

nonlinear filteringGirsanov's measure transformation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55)

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