Finite dimensional filters for moments and stochastic integrals of the state of nonlinear Benes systems
Robert James Elliott, Vikram Krishnamurthy · 2002
Finite dimensional filters for integrals and stochastic integrals of moments of the state for continuous-time nonlinear systems with Benes nonlinearity are derived. These new filters can be used with the expectation maximization (EM) algorithm to yield ML estimates of the model parameters.