Piecewise Monotone Filtering with Small Observation Noise

DOI10.1137/0327061zbMATH Open0689.93067OpenAlexW2175593785MaRDI QIDQ3032181FDOQ3032181

Wendell Fleming, Etienne Pardoux

Publication date: 1989

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0327061

zbMATH Keywords

Nonlinear filteringMarkov diffusion processesapproximate finite dimensional filtersdetectability hypothesissmall observation noise

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Diffusion processes (60J60)

Cited In (10)

• Volatility estimation of hidden Markov processes and adaptive filtration
• Title not available (Why is that?)
• Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel
• Nonlinear filtering of an interactive multiple model with small observation noise: numerical methods^∗
• Title not available (Why is that?)
• Optimal filtering of discrete-time hybrid systems
• An alternative sequential method for the state estimation of a partially observed SETAR(1) process
• An approximate filter for a partially observed piecewise linear system with small observation noise
• Piecewise linear filtering with small observation noise
• Discrete-time piecewise linear filtering with small observation noise

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