Title :
On a transformation theory for diffusions and nonlinear filtering problems
Author :
Dyson, T. ; Schwartz, S.C.
Author_Institution :
GRD Inc., Warminster, PA
Abstract :
Nonlinear diffusions defined by stochastic differential equations (s.d.e.) which admit exact recursive filtering solutions for the associated (unnormalized) conditional density (UCD) are presented. The diffusions are characterized by conditions on the s.d.e. drift and diffusion coefficient pair which admit a C?? transformation to an equivalent diffusion having linear dynamics.
Keywords :
Algebra; Differential equations; Filtering theory; Gaussian processes; Indium tin oxide; Nonlinear equations; Nonlinear filters; Stochastic processes; Testing; Variable speed drives;
Conference_Titel :
Decision and Control, 1984. The 23rd IEEE Conference on
Conference_Location :
Las Vegas, Nevada, USA
DOI :
10.1109/CDC.1984.272244
