Nonlinear filtering and large deviations:a pde-control theoretic approach

DOI10.1080/17442508808833500zbMath0642.93059OpenAlexW2042285941MaRDI QIDQ3783923

John S. Baras, Matthew R. James

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833500

zbMATH Keywords

convergenceHamilton-Jacobi-Bellman equationviscosity solutionlarge deviation principleasymptotic nonlinear filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Nonlinear systems in control theory (93C10) Large deviations (60F10)

Related Items (5)

Some Large Deviation Asymptotics in Small Noise Filtering Problems ⋮ Consistent parameter estimation for partially observed diffusions with small noise ⋮ Mortensen observer for a class of variational inequalities – lost equivalence with stochastic filtering approaches ⋮ A discrete-time optimal filtering approach for non-linear systems as a stable discretization of the Mortensen observer ⋮ Unnamed Item

Cites Work

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• Asymptotic Bayesian estimation of a first order equation with small diffusion
• Maximum-likelihood recursive nonlinear filtering
• Two approximations of solutions of Hamilton-Jacobi equations
• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes

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