id: 04099178
dt: a
an: 04099178
au: Hernandez, Diego Bricio
ti: Computational studies in continuous time nonlinear filtering.
so: Analysis and control of nonlinear systems, Sel. Pap. 8th Int. Symp. Math.
    Networks Syst., Phoenix/Ariz. 1987, 239-246 (1988).
py: 1988
pu: 
la: EN
cc: 
ut: Continuous time Markov chains; nonlinear diffusion processes; design of
    state estimators; computational implementation; nonlinear filter;
    nonlinear Ornstein-Uhlenbeck particle; trapezoidal rule coupled with
    the LU method; predictor-corrector method; Milshtein-Talay second order
    method; continuous-time
ci: Zbl 0661.00018
li: 
ab: Summary: [For the entire collection see Zbl 0661.00018.] Continuous time
    Markov chains are proposed as viable alternatives to nonlinear
    diffusion processes to be used as a basis for the design of state
    estimators. A convenient discretization strategy is described, together
    with the main issues relevant to the computational implementation of
    the corresponding nonlinear filter. The above concepts are illustrated
    by means of three different implementation of a filter for the
    observation of a nonlinear Ornstein-Uhlenbeck particle. The numerical
    methods considered are: a) the trapezoidal rule coupled with the LU
    method for the solution of linear algebraic systems, b) a
    predictor-corrector method with Euler’s method as predictor and c)
    the Milshtein-Talay second order method.
rv: