Finite-Dimensional Filters. Part I: The Wei--Norman Technique

DOI10.1137/S0363012994270904zbMath0873.93078OpenAlexW2123359798MaRDI QIDQ4337727

M. Cohen de Lara

Publication date: 26 May 1997

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

Full work available at URL: https://doi.org/10.1137/s0363012994270904

zbMATH Keywords

finite-dimensional filtersfinite-dimensional realizationsestimation Lie algebrabilinear stochastic partial differential equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) One-parameter semigroups and linear evolution equations (47D06) Signal detection and filtering (aspects of stochastic processes) (60G35) General properties and structure of real Lie groups (22E15)

Related Items (5)

Characterization of a subclass of finite-dimensional estimation algebras with maximal rank. Application to filtering ⋮ Weak symmetries of stochastic differential equations driven by semimartingales with jumps ⋮ The geometry of differential constraints for a class of evolution PDEs ⋮ Reduction of the Zakai equation by invariance group techniques ⋮ Some recent developments on Lie symmetry analysis of stochastic differential equations

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