Finite-dimensional filters with nonlinear drift X: explicit solution of DMZ equation

DOI10.1109/9.898707zbMath1056.93636OpenAlexW2138277708MaRDI QIDQ4540200

Guoqing Hu, Stephen Shing-Toung Yau

Publication date: 21 July 2002

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.898707

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical solutions to stochastic differential and integral equations (65C30)

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Direct method for Yau filtering system with nonlinear observations ⋮ Log-Concave Posterior Densities Arising in Continuous Filtering and a Maximum A Posteriori Algorithm ⋮ Quadratic stabilization for uncertain stochastic systems

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