New approach and results in nonlinear filtering of continuous-time state space

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Title

New approach and results in nonlinear filtering of continuous-time state space

Content partner

Victoria University of Wellington

Collection

Open Access Victoria University of Wellington

Description

<p dir="ltr">This paper develops a novel method for solving maximum a posteriori (MAP) and maximum likelihood (ML) nonlinear filtering problems in continuous-time state space. Some distributional identities for the statistics of incomplete information are established as the continuous-time counterpart of those given in \cite{Surya}. Using these identities and the duality principle between estimation theory and optimal control, which was pointed out in \cite{Kalman} for discrete-time state spa...

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Format

Research paper

Research format

Scholarly text / Journal article

Date created

2024

Creator

Budhi Surya

URL

https://figshare.com/articles/preprint/New_approach_and_results_in_maximum_likelihood_recursive_n...

Related subjects

Engineering / Information and computing sciences / Mathematical sciences / Filtering and prediction theory / state-space model (SSM) / Nonlinear filtering problems / Optimal Control Problem; / Calculus of variations.

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