Quasioptimal nonlinear filtering with regularization (Q1882027)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quasioptimal nonlinear filtering with regularization |
scientific article |
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Quasioptimal nonlinear filtering with regularization (English)
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18 October 2004
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The paper considers a general nonlinear filtering problem for continuous-time stochastic systems. It proposes an approximation procedure to the solution of the Kushner-Stratonovich equation associated with the given problem. It consists in a finite spectrum representation of a regularized version of the solution itself and allows the evaluation of suitable error estimates. Numerical simulations are also provided.
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nonlinear filtering
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Kushner-Stratonovich equation
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finite spectrum approximation
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regularization
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approximation procedure
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error estimates
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