Browsing by Subject "Finite-dimensional"
Now showing items 1-3 of 3
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Article
Conditional moment generating functions for integrals and stochastic integrals
(2003)In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuous-time nonlinear systems. The first method utilizes recursive stochastic partial differential ...
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Article
New explicit filters and smoothers for diffusions with nonlinear drift and measurements
(1998)The optimal least-squares filtering of a diffusion x(t) from its noisy measurements {y(τ); 0 ≤ τ ≤ t} is given by the conditional mean E[x(t)\y(τ); 0 ≤ τ ≤ t]. When x(t) satisfies the stochastic diffusion equation dx(t) = ...
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Article
New finite-dimensional risk-sensitive filters: Small noise limits
(1998)This paper is concerned with continuous-time nonlinear risk-sensitive filters. It is shown that for large classes of nonlinearities entering both the dynamics and measurements, these filters are finite-dimensional ...