Filtering and smoothing equations for the filtering problem of Benes

1 December 1981

conference paper
Published by Institute of Electrical and Electronics Engineers (IEEE)

p. 83-88
https://doi.org/10.1109/cdc.1981.269450

Abstract

Filtering of a diffusion with nonlinear drifts of a type defined by BeneŠ is studied. Explicit, finite dimensional, recurisve filters are shown to exist for moments and polynomial functionals of the diffusion, and a smoothing formula is given. These results are related to current, geometric approaches to filtering.

Keywords

FILTERING
SMOOTHING METHODS
EQUATIONS

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