Approximate nonlinear filtering by projection on exponential manifolds of densities

Bernoulli

Volumn 5, Issue 3, 1999, Pages 495-534

  Brigo, Damiano ^a   Hanzon, Bernard ^b   Gland, François L E ^c  

^a Intesa Sanpaolo SpA   (Italy)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

^c INRIA   (France)

Author keywords

Assumed density filter; Differential geometry and statistics; Exponential family; Finitedimensional filter; Fisher metric; Hellinger metric; Nonlinear filtering; Projection filter; Stratonovich stochastic differential equations

Indexed keywords

EID: 33749611021     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.2307/3318714     Document Type: Article

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