Approximation of optimal filter for Ornstein–Uhlenbeck process with quantised discrete-time observation

DOI10.1080/00207179.2017.1282627zbMath1390.93745OpenAlexW2579516363MaRDI QIDQ4568043

Jerzy Baranowski, Piotr Bania

Publication date: 20 June 2018

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2017.1282627

zbMATH Keywords

nonlinear filtersFokker-Planck equationquantizationoptimal filteringquantized data

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Digital control/observation systems (93C62) Fokker-Planck equations (35Q84)

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