Filtering and Smoothing Equations for the Filtering Problems of Benes
Marcus, S I
Ocone, D. L
Conference : 20th IEEE Conference on Decision and Control pp. 83-88
Date: December 01 - December 01, 1981
Filtering of a diffusion with nonlinear drifts of a type defined by Benes is studied. Explicit, finite dimensional, recursive 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.