Optimal projection filters with information geometry
DOI10.1007/s41884-023-00108-xOpenAlexW4379230691MaRDI QIDQ6138810
Damiano Brigo, John Armstrong, Bernard Hanzon
Publication date: 16 January 2024
Published in: Information Geometry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s41884-023-00108-x
stochastic differential equationsstochastic partial differential equationsnonlinear filteringprojection filtersItô-jet projectionItô-vector projectionoptimal projection filtersSPDEs projection on a submanifoldStratonovich projectionStratonovich projection filters
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical aspects of computer graphics, image analysis, and computational geometry (65D18) Jets in global analysis (58A20) Diffusion processes and stochastic analysis on manifolds (58J65) Statistical aspects of information-theoretic topics (62B10)
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