Explicit filters for diffusions with certain nonlinear drifts†
- 1 January 1982
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 8 (1) , 1-16
- https://doi.org/10.1080/17442508208833224
Abstract
Let x(t) be a diffusion satisfying the stochastic differential equation . V.Beneš gave an explicit formula for the conditional density of x(t) given when w(·)is a Brownian process independent of x(·). This result is extended and then applied to derive recursive filtering equations for estimating conditional moments for estimating polynomial functionals of x(·), and for smoothing.Keywords
This publication has 2 references indexed in Scilit:
- Exact finite-dimensional filters for certain diffusions with nonlinear driftStochastics, 1981
- Algebraic Structure and Finite Dimensional Nonlinear EstimationSIAM Journal on Mathematical Analysis, 1978