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Application of Girsanov Theorem to Particle Filtering of Discretely Observed Continuous-Time Non-Linear Systems
Girsanov theorem particle ltering continuous-discrete ltering
2009/9/22
This article considers the application of particle ltering to continuous-
discrete optimal ltering problems, where the system model is a stochastic dier-
ential equation, and noisy measurements of t...
Asymptotically optimal filtering in linear systems with fractional Brownian noises
fractional Brownian motion homogeneous linear system optimal filtering filtering error asymptotic variance
2009/2/23
In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically ...
Application of Girsanov Theorem to Particle Filtering of Discretely Observed Continuous-Time Non-Linear Systems
Girsanov theorem particle filtering continuous-discrete filtering
2010/4/29
This article considers the application of particle filtering to continuousdiscrete
optimal filtering problems, where the system model is a stochastic differential
equation, and noisy measurements of...