Fixed-Point Smoothing of Scalar Diffusions I: An Asymptotically Optimal Smoother

DOI10.1137/S0036139990188904zbMath0806.60031OpenAlexW2071655470MaRDI QIDQ4305386

Zeev Schuss, Y. Steinberg, Ben Zion Bobrovsky

Publication date: 13 October 1994

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0036139990188904

zbMATH Keywords

stochastic differential equationoptimal filterfiltering problemfixed-point smoothing problemZakai- type equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (1)

Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation

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