A deterministic discretisation-step upper bound for state estimation via Clark transformations
Brownian motionClark transformationscontinuous-time filteringdiscretizationsPoisson processpositivity-preserving numerical schemesstabilizationstate estimationstochastic differential equations
Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) Filtering in stochastic control theory (93E11)
The stability and positivity properties of several discretization schemes for continuous-time state estimation filters are discussed. The authors show that, for robust filters via Clark transformation, one can ensure nonnegative estimated probabilities by choosing a maximum grid step to be no greater than a given bound. It may be noted that standard approximation schemes such as forward Euler or Milstein ones do not preserve positivity. Two types of observation models are studied: the Brownian motion and Poisson process observation models.
- Publication:4724530
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