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math.PR2009
A finite dimensional filter with exponential conditional density
Damiano Brigo
In this paper we consider the continuous--time nonlinear filtering problem, which has an infinite--dimensional solution in general, as proved by Chaleyat--Maurel and Michel. There…
math.PR2009★ 5 cited
Projecting the Fokker-Planck Equation onto a finite dimensional exponential family
Damiano Brigo, Giovanni Pistone
In the present paper we discuss problems concerning evolutions of densities related to Ito diffusions in the framework of the statistical exponential manifold. We develop a rigorou…