Robust continuous-time smoothers without two-sided stochastic integrals

IEEE Transactions on Automatic Control

Volumn 47, Issue 11, 2002, Pages 1824-1841

  Krishnamurthy, Vikram ^a,b   Elliott, Robert ^c,d  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^b UNIVERSITY OF MELBOURNE   (Australia)

^c UNIVERSITY OF CALGARY   (Canada)

^d UNIVERSITY OF ADELAIDE   (Australia)

Author keywords

Continuous time; Hidden Markov models (HMMs); Maximum likelihood estimation; Nonlinear smoothing; Piecewise linear models; Stochastic differential equations

Indexed keywords

COMPUTER SIMULATION; MARKOV PROCESSES; MAXIMUM LIKELIHOOD ESTIMATION; PARTIAL DIFFERENTIAL EQUATIONS; ROBUSTNESS (CONTROL SYSTEMS); STOCHASTIC CONTROL SYSTEMS;

STOCHASTIC INTEGRALS;

NONLINEAR SYSTEMS;

EID: 0036858297     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/TAC.2002.804481     Document Type: Article

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