Deterministic nonlinear filtering

Wendell H. Fleming

Annali della Scuola Normale Superiore di Pisa - Classe di Scienze (1997)

  • Volume: 25, Issue: 3-4, page 435-454
  • ISSN: 0391-173X

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Fleming, Wendell H.. "Deterministic nonlinear filtering." Annali della Scuola Normale Superiore di Pisa - Classe di Scienze 25.3-4 (1997): 435-454. <http://eudml.org/doc/84300>.

@article{Fleming1997,
author = {Fleming, Wendell H.},
journal = {Annali della Scuola Normale Superiore di Pisa - Classe di Scienze},
keywords = {nonlinear filtering; Mortensen's estimator; minimax estimation; risk sensitive filter},
language = {eng},
number = {3-4},
pages = {435-454},
publisher = {Scuola normale superiore},
title = {Deterministic nonlinear filtering},
url = {http://eudml.org/doc/84300},
volume = {25},
year = {1997},
}

TY - JOUR
AU - Fleming, Wendell H.
TI - Deterministic nonlinear filtering
JO - Annali della Scuola Normale Superiore di Pisa - Classe di Scienze
PY - 1997
PB - Scuola normale superiore
VL - 25
IS - 3-4
SP - 435
EP - 454
LA - eng
KW - nonlinear filtering; Mortensen's estimator; minimax estimation; risk sensitive filter
UR - http://eudml.org/doc/84300
ER -

References

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  3. [BJP] R.K. Boel - M.R. James - I.R. Petersen, Robustness and Risk Sensitive Filtering, submitted to IEEE Trans. Auto. Control. MR1891327
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  7. [FM2] W.H. Fleming - W.M. Mceneaney, Risk Sensitive and Robust Nonlinear Filtering, in "Proc. 36-th IEEE Conf. on Decision and Control", San Diego, 1997. 
  8. [FP] W.H. Fleming - E. Pardoux, Optimal control forpartially observed diffusions, SIAM J. Control and Optim.2 (1982), 261-285. Zbl0484.93077MR646953
  9. [FR] W.H. Fleming - R.W. Rishel, "Deterministic and Stochastic Optimal Control", Springer-Verlag, 1975. Zbl0323.49001MR454768
  10. [FS] W.H. Fleming - H.M. Soner, "Controlled Markov Processes and Viscosity Solutions", Springer-Verlag, 1992. Zbl0773.60070MR2179357
  11. [H] O. Hijab, "Minimum Energy Estimation", Ph.D. Dissertation, Univ. of Calif., Berkeley, 1980. 
  12. [JB] M.R. James - J.S. Baras, Nonlinear filtering and large deviations: A PDE-control theoretic approach, Stochastics23 (1988), 391-412. Zbl0642.93059MR959121
  13. [JBE] M.R. James - J.S. Baras - R.J. Elliott, Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems, IEEE Trans. Auto. Control39 (4) (1994), 780-792. Zbl0807.93067MR1276773
  14. [JL] M. Joannides - F. Legland, Nonlinear filtering with continuous time perfect observations and noninformative quadratic variation, in "Proc. 36th IEEE Conf. on Decision and Control", San Diego, 1997. 
  15. [Kr] A.J. Krener, Necessary and sufficient conditions for nonlinear worst case (H∞) control and estimation, J. Math. Systems, Estimation and Control4 (1994), 485-488; erratum 5 (1995), 257. Zbl0814.93028
  16. [Ku] H. Kunita, Stochastic partial differential equations connected with nonlinear filtering, in "Lecture Notes in Math.", No. 972, Springer-Verlag, 1982. Zbl0527.60067MR705933
  17. [LMR] S. Lototsky - MIKULEVICIUS - B.L. Rozovskii, Nonlinear filtering revisited: a spectral approach, SIAM J. Control Optim.35 (1997), 435-461. Zbl0873.60030MR1436632
  18. [Mc1] W.M. Mceneaney, Uniqueness for viscosity solutions of nonstationary HJB equations under some a priori conditions (with applications), SIAM J. Control and Optim33 (1995), 1560-1576. Zbl0833.49017MR1348121
  19. [Mc2] W.M. McEneaney, Robust/H∞ Filtering for Nonlinear Systems, to appear in Systems Control Lett. Zbl0902.93065
  20. [Mi] S.K. Mitter, Lectures on nonlinear filtering and stochastic control, in "Lecture Notes in Math.", No. 972, Springer-Verlag, 1982. Zbl0516.93059MR705934
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