Approximate and limit results for nonlinear filters with wide bandwith observation noise

DOI10.1080/17442508608833367zbMath0595.60046OpenAlexW1998999025MaRDI QIDQ3727067

Harold J. Kushner, Hai Huang

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833367

zbMATH Keywords

weak convergencenonlinear filtering theorycomparison estimatorswide bandwidth filterswide bandwidth observation noise

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Central limit and other weak theorems (60F05) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (5)

Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric ⋮ A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ A Stroock Varadhan support theorem in non-linear filtering theory ⋮ Combined filtering and parameter estimation: Approximations and robustness ⋮ Uniform time average consistency of Monte Carlo particle filters

Cites Work

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• A finitely additive white noise approach to nonlinear filtering
• Probability methods for approximations in stochastic control and for elliptic equations
• Dynamical equations for optimal nonlinear filtering
• Multiple Integral Expansions for Nonlinear Filtering
• Approximating multiple itô integrals with "band limited" processes
• Asymptotic analysis of P.D.E.s with wide–band noise disturbances, and expansion of the moments
• Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides

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