Real time solution of nonlinear filtering problem without memory. I

DOI10.4310/MRL.2000.v7.n6.a2zbMath0967.93089OpenAlexW2317540099MaRDI QIDQ5929470

Shing Tung Yau, Stephen Shing-Toung Yau

Publication date: 20 August 2001

Published in: Mathematical Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/mrl.2000.v7.n6.a2

zbMATH Keywords

conditional probability densityDuncan-Mortensen-Zakai equationnonlinear filteringoff-line computationsrobust parabolic partial differential equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Direct method for Yau filtering system with nonlinear observations ⋮ Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method ⋮ Wavelet-Galerkin method for the Kolmogorov equation ⋮ Estimation of indirectly observable Langevin states: path integral solution using statistical physics methods

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