Title :
Filtering and smoothing equations for the filtering problem of Benes
Author :
Ocone, D.L. ; Baras, J.S. ; Marcus, S.I.
Author_Institution :
University of Wisconsin-Madison, Madison, WI
Abstract :
Filtering of a diffusion with nonlinear drifts of a type defined by Bene?? 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 :
Equations; Filtering; Smoothing methods;
Conference_Titel :
Decision and Control including the Symposium on Adaptive Processes, 1981 20th IEEE Conference on
Conference_Location :
San Diego, CA, USA
DOI :
10.1109/CDC.1981.269450
