Explicit solutions to a class of nonlinear filtering problems

1 December 1981

journal article
research article
Published by Taylor & Francis in Stochastics

Vol. 5 (4) , 311-321
https://doi.org/10.1080/17442508108833185

Abstract

In this paper we obtain the solution of a class of nonlinear filtering problems in the form of a series expansion in terms of multiple Wiener integrals. The solution is explicit in the sense that the kernels of the integrals in the expansion are explicitly determine.

Keywords

NONLINEAR FILTERING
MULTIPLE WIENER INTEGRALS
ORTHOGONAL POLYNOMIALS

This publication has 3 references indexed in Scilit:

Multiple integral expansions for nonlinear filtering
Published by Institute of Electrical and Electronics Engineers (IEEE) ,1979
The construction of a class of stationary Markoff processes
Proceedings of Symposia in Applied Mathematics, 1964
Multiple Wiener Integral
Journal of the Mathematical Society of Japan, 1951