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Fourier–Hermite expansions for nonlinear filtering
Teoriâ veroâtnostej i ee primeneniâ, Tome 44 (1999) no. 3, pp. 675-680 Cet article a éte moissonné depuis la source Math-Net.Ru

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The objective of this paper is to develop an approach to nonlinear filtering which allows the separation of time-consuming computations involving the coefficients of the system from those dealing with the observation data only. The approach is based on a Cameron–Martin type expansion for nonnormalized optimal filters.
Keywords: nonlinear filtering
Mots-clés : Fourier–Hermite expansion. 
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     author = {R. Mikulevicius and B. L. Rozovskii},
     title = {Fourier{\textendash}Hermite expansions for nonlinear filtering},
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     number = {3},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_1999_44_3_a13/}
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R. Mikulevicius; B. L. Rozovskii. Fourier–Hermite expansions for nonlinear filtering. Teoriâ veroâtnostej i ee primeneniâ, Tome 44 (1999) no. 3, pp. 675-680. http://geodesic.mathdoc.fr/item/TVP_1999_44_3_a13/