Nonlinear Filtering of Diffusion Processes

Nonlinear Filtering of Diffusion Processes

Title : Nonlinear Filtering of Diffusion Processes
Authors :
S. K. Mitter
Blankenship, Gilmer L
Baras, John, S.
Conference : 8th IFAC World Conference Vo. V, pp. 57-62
Date: July 01 - July 01, 1981

Representations of conditional statistics (densities) are described for the problem of nonlinear estimation of diffusion processes. Existence and uniqueness properties and algebraic structure of the Duncan-Mortensen-Zakai evolution equation are considered together with some approximation techniques.

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