13 citations · 18 across the 12 of their papers we have counts for
Showing 2019Show all
3 papers · 1 filter
math.PR2019
A Dual Characterization of Observability for Stochastic Systems
Jin W. Kim, Prashant G. Mehta
This paper is concerned with a characterization of the observability for a continuous-time hidden Markov model where the state evolves as a general continuous-time Markov process a…
math.OC2019★ 13 cited
An Optimal Control Derivation of Nonlinear Smoothing Equations
Jin W. Kim, Prashant G. Mehta
The purpose of this paper is to review and highlight some connections between the problem of nonlinear smoothing and optimal control of the Liouville equation. The latter has been…
math.OC2019
What is the Lagrangian for Nonlinear Filtering?
Jin W. Kim, Prashant G. Mehta, Sean P. Meyn
Duality between estimation and optimal control is a problem of rich historical significance. The first duality principle appears in the seminal paper of Kalman-Bucy, where the prob…