Solution of Filtering Problem with Nonlinear Observations

DOI10.1137/S0363012902411970zbMath1130.93421OpenAlexW1972869442MaRDI QIDQ5700561

Shing Tung Yau, Stephen Shing-Toung Yau

Publication date: 28 October 2005

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

Full work available at URL: https://doi.org/10.1137/s0363012902411970

zbMATH Keywords

Kolmogorov equationfiltering problemreal time computationnonlinear observationsDMZ equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (2)

Direct method for Yau filtering system with nonlinear observations ⋮ Estimation of indirectly observable Langevin states: path integral solution using statistical physics methods

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