Stochastic Filtering for Diffusion Processes With Level Crossings

DOI10.1109/TAC.2011.2157404zbMath1368.93705OpenAlexW2151703786MaRDI QIDQ5347851

Agostino Capponi, Ling Shi, Ibrahim Fatkullin

Publication date: 25 August 2017

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

Full work available at URL: https://doi.org/10.1109/tac.2011.2157404

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60)

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