On the stochastic differential equations of filtering theory

DOI10.1016/0096-3003(90)90002-KzbMath0709.60042OpenAlexW2049581044MaRDI QIDQ5899983

Andrew J. Heunis

Publication date: 1990

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(90)90002-k

zbMATH Keywords

partial differential equationZakai equationstochastic differential equations in filtering theory

Mathematics Subject Classification ID

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

Related Items (1)

A small time approximation for the solution to the Zakai equation

Cites Work

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