Displaying similar documents to “Nonlinear filtering for reflecting diffusions in random environments via nonparametric estimation.”

Nonlinear filtering for observations on a random vector field along a random path. Application to atmospheric turbulent velocities

Christophe Baehr (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

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To filter perturbed local measurements on a random medium, a dynamic model jointly with an observation transfer equation are needed. Some media given by PDE could have a local probabilistic representation by a Lagrangian stochastic process with mean-field interactions. In this case, we define the acquisition process of locally homogeneous medium along a random path by a Lagrangian Markov process conditioned to be in a domain following the path and conditioned to the observations. The...

Nonlinear filtering for Markov systems with delayed observations

Antonella Calzolari, Patrick Florchinger, Giovanna Nappo (2009)

International Journal of Applied Mathematics and Computer Science

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This paper deals with nonlinear filtering problems with delays, i.e., we consider a system (X,Y), which can be represented by means of a system (X,Ŷ), in the sense that Yt = Ŷa(t), where a(t) is a delayed time transformation. We start with X being a Markov process, and then study Markovian systems, not necessarily diffusive, with correlated noises. The interest is focused on the existence of explicit representations of the corresponding filters as functionals depending on the observed...

An instrumental variable method for robot identification based on time variable parameter estimation

Mathieu Brunot, Alexandre Janot, Peter Young, Francisco Carrillo (2018)

Kybernetika

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This paper considers the data-based identification of industrial robots using an instrumental variable method that uses off-line estimation of the joint velocities and acceleration signals based only on the measurement of the joint positions. The usual approach to this problem relies on a ‘tailor-made’ prefiltering procedure for estimating the derivatives that depends on good prior knowledge of the system's bandwidth. The paper describes an alternative Integrated Random Walk SMoothing...