57
Views
43
CrossRef citations to date
0
Altmetric
Original Articles

A robust discrete state approximation to the optimal nonlinear filter for a diffusiont

Pages 75-83 | Received 03 Apr 1979, Published online: 22 Dec 2010

References

  • Kushner , H. J. 1970 . Dynamical equations for non-linear filtering . Journal of Differential Equations , : 179 – 190 .
  • Fujisaki , M. , Kallianpur , G. and Kunita , H. 1972 . Stochastic differential equations for the nonlinear filtering problem . Osaka, J. Math , : 19 – 40 .
  • Kushner , H. J. 1977 . Probability Methods for Approximations in Stochastic Control and for Elliptic Equations , New York : Academic Press .
  • Kushner , H. J. and DiMasi , D. 1978 . Approximations for functional and optimal control problems on jump diffusion processes . J. Math. Anal and Applic , 63 : 772 – 800 .
  • Clark , J. M. C. 1978 . “ The design of robust approximations to the stochastic differential equations of non-linear filtering ” . In Comm. Systems and Random Process Theory , NATO Advanced Study Institute Series Edited by: Skwirzynski , J. K. Sijthoff and Noordhoff, Alphen aan den Rijn .
  • Wonham , W. M. 1965 . Some applications of stochastic differential equations to optimal nonlinear filtering . SI AM J. on Control , 2 : 347 – 369 .
  • Lipster , R.S. and Shiryayev , A. N. 1977 . Statistics of Random Processes , Berlin : Springer . translation of the 1974 Russian original

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.