Type:
Conference Paper›Invited and refereed articles in conference proceedings
Authored by:
Ocone, D. L., Baras, John S.
Conference date:
December 1981
Conference:
20th IEEE Conference on Decision and Control, pp. 83-88
Full Text Paper:
Abstract:
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.