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Teoriya Veroyatnostei i ee Primeneniya, 1999, Volume 44, Issue 3, Pages 675–680
DOI: https://doi.org/10.4213/tvp813 (Mi tvp813) 		 
This article is cited in 17 scientific papers (total in 17 papers)

Short Communications

Fourier–Hermite expansions for nonlinear filtering

R. Mikuleviciusa, B. L. Rozovskiib

a Institute of Mathematics and Informatics
b Center for Applied Mathematical Sciences, University of Southern California, USA
Full-text PDF (347 kB) Citations (17)
DOI: https://doi.org/10.4213/tvp813
Abstract: The objective of this paper is to develop an approach to nonlinear filtering which allows the separation of time-consuming computations involving the coefficients of the system from those dealing with the observation data only. The approach is based on a Cameron–Martin type expansion for nonnormalized optimal filters.
Keywords: nonlinear filtering, Fourier–Hermite expansion.
English version:
Theory of Probability and its Applications, 2000, Volume 44, Issue 3, Pages 606–612
DOI: https://doi.org/10.1137/S0040585X97977835
Bibliographic databases:
Document Type: Article
Language: English
Citation: R. Mikulevicius, B. L. Rozovskii, “Fourier–Hermite expansions for nonlinear filtering”, Teor. Veroyatnost. i Primenen., 44:3 (1999), 675–680; Theory Probab. Appl., 44:3 (2000), 606–612
Citation in format AMSBIB
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\by R.~Mikulevicius, B.~L.~Rozovskii
\paper Fourier--Hermite expansions for nonlinear filtering
\jour Teor. Veroyatnost. i Primenen.
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\pages 675--680
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\transl
\jour Theory Probab. Appl.
\yr 2000
\vol 44
\issue 3
\pages 606--612
\crossref{https://doi.org/10.1137/S0040585X97977835}
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  • https://doi.org/10.4213/tvp813
  • https://www.mathnet.ru/eng/tvp/v44/i3/p675
    • This publication is cited in the following 17 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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