Nonlinear filtering of diffusion processes a guided tour

Advances in Filtering and Optimal Stochastic Control - Lecture Notes in Control and Information Sciences ◽

10.1007/bfb0004544 ◽

2005 ◽

pp. 256-266 ◽

Cited By ~ 4

Author(s):

Sanjoy K. Mitter

Keyword(s):

Nonlinear Filtering ◽

Diffusion Processes ◽

Guided Tour

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Recursive Multiple Wiener Integral Expansion for Nonlinear Filtering of Diffusion Processes

stochastic processes and functional analysis ◽

10.1201/9781003067597-16 ◽

2020 ◽

pp. 199-208 ◽

Cited By ~ 1

Author(s):

Sergey Lototsky ◽

Boris L. Rozovskii

Keyword(s):

Nonlinear Filtering ◽

Diffusion Processes ◽

Wiener Integral ◽

Multiple Wiener Integral

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Optimal Sensor Scheduling in Nonlinear Filtering of Diffusion Processes

10.21236/ada452390 ◽

1987 ◽

Author(s):

John S. Baras ◽

Alain Bensoussan

Keyword(s):

Nonlinear Filtering ◽

Diffusion Processes ◽

Sensor Scheduling

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Nonlinear Filtering of Diffusion Processes in Correlated Noise: Analysis by Separation of Variables

Applied Mathematics & Optimization ◽

10.1007/s00245-002-0760-4 ◽

2003 ◽

Vol 47 (2) ◽

pp. 167-194 ◽

Cited By ~ 3

Author(s):

Sergey V. Lototsky

Keyword(s):

Nonlinear Filtering ◽

Diffusion Processes ◽

Separation Of Variables ◽

Noise Analysis ◽

Correlated Noise

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PROBABILITY DENSITIES FOR DIFFUSION PROCESSES WITH APPLICATIONS TO NONLINEAR FILTERING THEORY AND DETECTION THEORY

10.21236/ad0821974 ◽

1967 ◽

Cited By ~ 44

Author(s):

T. E. Duncan

Keyword(s):

Nonlinear Filtering ◽

Diffusion Processes ◽

Detection Theory ◽

Filtering Theory ◽

Probability Densities

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On the joint nonlinear filtering-smoothing of diffusion processes

Systems & Control Letters ◽

10.1016/0167-6911(86)90046-0 ◽

1986 ◽

Vol 7 (4) ◽

pp. 317-321 ◽

Cited By ~ 5

Author(s):

O. Zeitouni ◽

B.Z. Bobrovsky

Keyword(s):

Nonlinear Filtering ◽

Diffusion Processes

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Optimal Sensor Scheduling in Nonlinear Filtering of Diffusion Processes

SIAM Journal on Control and Optimization ◽

10.1137/0327042 ◽

1989 ◽

Vol 27 (4) ◽

pp. 786-813 ◽

Cited By ~ 56

Author(s):

John S. Baras ◽

Alain Bensoussan

Keyword(s):

Nonlinear Filtering ◽

Diffusion Processes ◽

Sensor Scheduling

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Group Invariance Methods in Nonlinear Filtering of Diffusion Processes

Stochastic Systems: The Mathematics of Filtering and Identification and Applications ◽

10.1007/978-94-009-8546-9_28 ◽

1981 ◽

pp. 565-572 ◽

Cited By ~ 5

Author(s):

John S. Baras

Keyword(s):

Nonlinear Filtering ◽

Diffusion Processes ◽

Group Invariance

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Entropy Inequalities and Entropy Dynamics in Nonlinear Filtering of Diffusion Processes

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_28 ◽

1999 ◽

pp. 477-496 ◽

Cited By ~ 2

Author(s):

Daniel Ocone

Keyword(s):

Nonlinear Filtering ◽

Diffusion Processes ◽

Entropy Inequalities

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Nonlinear Filtering of Diffusion Processes

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)63541-9 ◽

1981 ◽

Vol 14 (2) ◽

pp. 547-552 ◽

Cited By ~ 7

Author(s):

J.S. Baras ◽

G.L. Blankenship ◽

S.K. Mitter

Keyword(s):

Nonlinear Filtering ◽

Diffusion Processes

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Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes

Stochastics ◽

10.1080/17442508208833228 ◽

1982 ◽

Vol 8 (1) ◽

pp. 63-77 ◽

Cited By ~ 71

Author(s):

Wendell H. Fleming ◽

Sanjoy K. Mitter

Keyword(s):

Optimal Control ◽

Nonlinear Filtering ◽

Diffusion Processes

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