Extrinsic Projection of Itô SDEs on Submanifolds with Applications to Non-linear Filtering

Author:

Armstrong John,Brigo Damiano

Publisher

Springer International Publishing

Reference18 articles.

1. Ahmed, N. U. (1998). Linear and nonlinear filtering for scientists and engineers. Singapore: World Scientific.

2. Armstrong, J., & Brigo, D. (2013). Stochastic filtering via L2 projection on mixture manifolds with computer algorithms and numerical examples. arXiv:1303.6236 .

3. Armstrong, J., & Brigo, D. (2016a). Nonlinear filtering via stochastic PDE projection on mixture manifolds in $$L^2$$ direct metric. Mathematics of Control, Signals and Systems, 28(1), 1–33.

4. Armstrong, J., & Brigo, D. (2016b). Coordinate free stochastic differential equations as jets. arXiv:1602.03931 .

5. Bain, A., & Crisan, D. (2009). Fundamentals of stochastic filtering, vol. 3. Springer.

Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Intrinsic stochastic differential equations as jets;Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences;2018-02

2. Itô Stochastic Differential Equations as 2-Jets;Lecture Notes in Computer Science;2017

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