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A Martingale Approach to Continuous-Time Linear Smoothing

โœ Scribed by Arunabha Bagchi

Book ID
124874591
Publisher
Society for Industrial and Applied Mathematics
Year
1975
Tongue
English
Weight
418 KB
Volume
28
Category
Article
ISSN
0036-1399

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๐Ÿ“œ SIMILAR VOLUMES

A Dual Approach to a Linear Smoothing Pr
A Dual Approach to a Linear Smoothing Problem
โœ P.N. Nikiforuk; M.M. Gupta; N. Minamide ๐Ÿ“‚ Article ๐Ÿ“… 1979 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 731 KB

In this paper, the continuous-time linear Gaussian smoothing problem is investigated by utilizing a dual approach. It is shown that the smoothing problem is a dual of an optimal regulator with a jump condition on the trajectory. By solving the dual optimal control problem, basic results established