@inproceedings{e609fcb6c8324da49d2a3389080c1553,
title = "An approach to duality in nonlinear filtering",
abstract = "This paper revisits the question of duality between minimum variance estimation and optimal control first described for the linear Gaussian case in the celebrated paper of Kalman and Bucy. A duality result is established for nonlinear filtering, mirroring closely the original Kalman-Bucy duality of control and estimation for linear systems. The result for the finite state-space continuous time Markov chain is presented. It's solution is used to derive the classical Wonham filter.",
author = "Kim, {Jin Won} and Amirhossein Taghvaei and Mehta, {Prashant G.} and Meyn, {Sean P.}",
note = "Publisher Copyright: {\textcopyright} 2019 American Automatic Control Council.; 2019 American Control Conference, ACC 2019 ; Conference date: 10-07-2019 Through 12-07-2019",
year = "2019",
month = jul,
doi = "10.23919/acc.2019.8815136",
language = "English (US)",
series = "Proceedings of the American Control Conference",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "5360--5365",
booktitle = "2019 American Control Conference, ACC 2019",
address = "United States",
}