An approximation for the nonlinear filtering problem, with error bound†

DOI10.1080/17442508508833342zbMath0566.60046OpenAlexW1996943585MaRDI QIDQ3681661

Wolfgang J. Runggaldier, Maurizio Pratelli, Giovanni B. Di Masi

Publication date: 1985

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508508833342

zbMATH Keywords

nonlinear filtering problemestimates of the errorfinite-dimensional equationapproximate filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (9)

Observation sampling and quantisation for continuous-time estimators. ⋮ Approximate nonlinear filtering for piecewise linear systems ⋮ A branching particle system approximation for nonlinear stochastic filtering ⋮ A small time approximation for the solution to the Zakai equation ⋮ Discrete approximation of nonlinear filtering for stochastic delay equations ⋮ A Stroock Varadhan support theorem in non-linear filtering theory ⋮ A Kushner-Stratonovich Monte Carlo filter applied to nonlinear dynamical system identification ⋮ A backward particle interpretation of Feynman-Kac formulae ⋮ Optimal quantization methods for nonlinear filtering with discrete-time observations

Cites Work

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• Probability methods for approximations in stochastic control and for elliptic equations
• Continuous-time approximations for the nonlinear filtering problem
• On measure transformations for combined filtering and parameter estimation in discrete time

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