Browsing by Subject "Finite-dimensional"

Now showing items 1-3 of 3

Article

Conditional moment generating functions for integrals and stochastic integrals

Charalambous, Charalambos D.; Elliott, R. J.; Krishnamurthy, V. (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 ...
Article

New explicit filters and smoothers for diffusions with nonlinear drift and measurements

Charalambous, Charalambos D.; Elliott, R. J. (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) = ...
Article

New finite-dimensional risk-sensitive filters: Small noise limits

Charalambous, Charalambos D.; Dey, S.; Elliott, R. J. (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 ...