Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
From MaRDI portal
Publication:5518903
DOI10.1137/0302028zbMath0143.19004OpenAlexW2099264463MaRDI QIDQ5518903
Publication date: 1965
Published in: Journal of the Society for Industrial and Applied Mathematics Series A Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0302028
Related Items
On the optimal filtering of diffusion processes, Observation sampling and quantisation for continuous-time estimators., Extending the theory of Liptser-Shiryaev filters, Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm, Numerical methods for optimal harvesting strategies in random environments under partial observations, Dividend maximization in a hidden Markov switching model, Dissipative control of a three-species food chain stochastic system with a hidden Markov chain, A partial history of the early development of continuous-time nonlinear stochastic systems theory, Pathwise approximation and simulation for the Zakai filtering equation through operator splitting, Root-mean-square filtering of the state of polynomial stochastic systems with multiplicative noise, Application of optimal filtering methods for on-line of queueing network states, Methods of ellipsoidal filtration in nonlinear stochastic systems on manifolds, Signal-to-noise matrix and model reduction in continuous-time hidden Markov models, PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION, Asymptotic filtering for finite state Markov chains, A Stochastic Approximation Approach for Trend-Following Trading, Central suboptimalH∞filter design for nonlinear polynomial systems, A free boundary problem arising from a multi-state regime-switching stock trading model, An ergodic theorem for filtering with applications to stability, The Hitchhiker's guide to nonlinear filtering, Applications of Numerical Methods for Stochastic Controlled Switching Diffusions with a Hidden Markov Chain: Case Studies on Distributed Power Management and Communication Resource Allocation, Sliding mode filtering for stochastic systems with polynomial state and observation equations, Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity, A survey of numerical solutions for stochastic control problems: some recent progress, Stochastic competitive Lotka-Volterra ecosystems under partial observation: feedback controls for permanence and extinction, Stochastic maximum principle for hybrid optimal control problems under partial observation, Attractive ellipsoid design for robust sliding‐mode observation error in stochastic nonlinear discrete‐time systems, Optimal controller for stochastic polynomial systems with state-dependent polynomial input, Maximum likelihood estimator for hidden Markov models in continuous time, Hybrid stochastic epidemic SIR models with hidden states, The Filtering Equations Revisited, On the filtering problem for continuous-time Markov jump linear systems with no observation of the Markov chain, Mean-square data-based controller for nonlinear polynomial systems with multiplicative noise, A Mathematical Analysis of Technical Analysis, Optimal controller for uncertain stochastic polynomial systems, The early days of geometric nonlinear control, Model robustness of finite state nonlinear filtering over the infinite time horizon, \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes, Exponential contraction of switching jump diffusions with a hidden Markov chain, Finite dimensional predictors for hidden Markov chains, On the stochastic differential equations of filtering theory, Portfolio optimization for a large investor under partial information and price impact, Long-run risk and hidden growth persistence, Continuous finite-dimensional locally optimal filtering of jump diffusions, Filtering of continuous-time Markov chains with noise-free observation and applications, Discrete-time approximation of Wonham filters, Likelihood ratios for signals in additive white noise, Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering, Likelihood ratios for signals in additive white noise, The Wonham filter under uncertainty: A game-theoretic approach, Minimax estimation in systems of observation with Markovian chains by integral criterion, Partitioned estimation algorithms. I: Nonlinear estimation, Joint state filtering and parameter estimation for linear stochastic time-delay systems, State estimation for partially observed Markov chains, Estimation of the state of a nonlinear process in the presence of nongaussian noise and disturbances, Optimal LQG controller for linear stochastic systems with unknown parameters, Nonlinear distributed-parameter filtering using the Fokker-Planck equation approach, Optimal filtering for incompletely measured polynomial systems with multiplicative noise, EM algorithm for stochastic hybrid systems, Robust filtering and propagation of uncertainty in hidden Markov models, Optimal Trend Following Trading Rules, A study of linear time-varying systems subject to stochastic disturbances, Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance, Interactive statistical mechanics and nonlinear filtering, Dynamical equations for optimal nonlinear filtering, OPTIMAL CONTROL OF AN ENERGY STORAGE FACILITY UNDER A CHANGING ECONOMIC ENVIRONMENT AND PARTIAL INFORMATION, Optimal stopping games in models with various information flows, Adaptation and tracking in system identification - a survey, On the stochastic differential equations of filtering theory, Tracking and identification of regime-switching systems using binary sensors, Optimal exploitation for hybrid systems of renewable resources under partial observation, Nonlinear filtering problems with finite-dimensional matrix estimation algebras, System identification. A survey, Stochastic optimal control for non-linear dynamical systems under noisy observations, Controllable Markov jump processes. I: Optimum filtering based on complex observations, Analytical methods for performance evaluation of nonlinear filters, The stochastic filtering problem: a brief historical account, The explicit solution of the unnormalized conditional probability equation of a one-dimensional linear system, OPTIMAL CREDIT ALLOCATION UNDER REGIME UNCERTAINTY WITH SENSITIVITY ANALYSIS, Data-driven modeling of the temporal evolution of breakers' states in the French electrical transmission grid, Asset pricing under smooth ambiguity in continuous time, On a robust version of the integral representation formula of nonlinear filtering, Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model, An optimal monitor of the electroencephalographic sigma sleep state, Feedback controls for desired dynamical behaviours of a new stochastic ecosystem with regime switching, Optimal Retirement Under Partial Information, Recursive estimation of a discrete-time Markov chain
