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Real time algorithm for nonlinear filtering problem

SS-T Yau Shing-Tung Yau

Dynamical Systems mathscidoc:1912.43682

3, 2137-2142, 2001.12
The fundamental problem of nonlinear filtering theory is how to solve robust D-M-Z equation in real time and in memoryless manner. This paper describes a new real time algorithm which reduces the nonlinear filtering problem to off-line computations. Our algorithm gives convergent solutions in both pointwise sense and L/sup 2/ in case that the drift term and observation dynamic term have linear growths. The algorithm presented is slightly better than that given in our previous paper (2000).
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@inproceedings{ss-t2001real,
  title={Real time algorithm for nonlinear filtering problem},
  author={SS-T Yau, and Shing-Tung Yau},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191224204948648204246},
  volume={3},
  pages={2137-2142},
  year={2001},
}
SS-T Yau, and Shing-Tung Yau. Real time algorithm for nonlinear filtering problem. 2001. Vol. 3. pp.2137-2142. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191224204948648204246.
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