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Sometimes it is possible to choose the position of these data points (which we call sensors here) in advance, with the goal of maximising the expected information gain (or a different metric of performance) from future data, and this leads to an Optimal Experimental Design (OED) problem. Here we revisit an interpretation of optimising sensor placement as an integration with respect to a general probability measure\n                    <jats:inline-formula>\n                      <jats:alternatives>\n                        <jats:tex-math>$$\\xi $$<\/jats:tex-math>\n                        <mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\">\n                          <mml:mi>\u03be<\/mml:mi>\n                        <\/mml:math>\n                      <\/jats:alternatives>\n                    <\/jats:inline-formula>\n                    . This generalises the problem of discrete-time sensor placement (which corresponds to the special case where the probability measure is a mixture of Diracs) to an infinite-dimensional, but mathematically more well-behaved setting. We focus on the continuous-time stochastic filtering setting, whose solution is governed by the Zakai equation. We derive an expression for the Fr\u00e9chet derivative of a general OED utility functional, the key to which is an adjoint (backwards in time) differential equation. This paves the way for utilising new gradient-based methods for solving the corresponding optimisation problem, as a potentially more efficient alternative to (semi-)discrete optimisation methods, e.g. based on greedy insertion and deletion of sensor placements.\n                  <\/jats:p>","DOI":"10.1007\/s11222-026-10855-3","type":"journal-article","created":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T01:27:20Z","timestamp":1773019640000},"update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["An optimal experimental design approach to sensor placement in continuous stochastic filtering"],"prefix":"10.1007","volume":"36","author":[{"given":"Sahani","family":"Pathiraja","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Claudia","family":"Schillings","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Philipp","family":"Wacker","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2026,3,9]]},"reference":[{"key":"10855_CR1","doi-asserted-by":"crossref","unstructured":"Aarset, C.: A global optimum-informed greedy algorithm for a-optimal experimental design. arXiv preprint arXiv:2409.09963 (2024)","DOI":"10.1007\/978-3-031-87213-6_24"},{"issue":"474","key":"10855_CR2","doi-asserted-by":"publisher","first-page":"773","DOI":"10.1198\/016214505000001159","volume":"101","author":"B Amzal","year":"2006","unstructured":"Amzal, B., Bois, F.Y., Parent, E., Robert, C.P.: Bayesian-optimal design via interacting particle systems. 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