Some results and speculations on the role of Lie algebras in filtering

@inproceedings{Marcus1981SomeRA,
  title={Some results and speculations on the role of Lie algebras in filtering},
  author={Steven I. Marcus and Michiel Hazewinkel and Jan C. Willems},
  year={1981}
}
Consider a stochastic dynamical system of the type (1.1) dxt = f(xt) dt + G(xt)dwt, dyt = h (xt)dt + dvt where f,G,h are (sufficiently regular) vector and matrix valued functions, and w and v are unit variance Wiener processes independent of the initial state x(0) and independent of each other. 

Topics from this paper.