What is the Lagrangian for Nonlinear Filtering

Keyphrases

• Lagrangian 100%
• Nonlinear Filtering 100%
• Kalman-Bucy 100%
• Optimal Control 66%
• Nonlinear Filter 66%
• Duality Results 66%
• Minimum Variance Unbiased Estimator 66%
• Maximum Principle 33%
• Optimal Control Problem 33%
• Kalman Filter 33%
• Additive White Gaussian Noise 33%
• Nonlinear Function 33%
• Historical Significance 33%
• Duality Principle 33%
• Constructive Proof 33%
• Proof Techniques 33%
• Control Solution 33%
• Dual Process 33%
• Continuous-time Markov Process 33%
• Linear-quadratic Optimal Control Problem 33%
• Backward Stochastic Differential Equation 33%

Mathematics

• Optimal Control Theory 100%
• Lagrangian 100%
• Optimal Control Problem 100%
• Variance Estimation 100%
• Stochastic Differential Equation 50%
• Continuous Time 50%
• Kalman Filtering 50%
• Seminal Paper 50%
• Duality Principle 50%
• Constructive Proof 50%
• Nonlinear Function 50%
• Time Markov Process 50%
• Random Noise 50%