Nonlinear filtering problem with contamination

DOI10.1214/AOAP/1043862418MaRDI QIDQ1379714zbMATH OpenOpenAlexFDO

Authors Marina Kleptsyna, R. Liptser, A. P. Serebrovskij

Publication date 20 September 1998

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoap/1043862418

zbMATH Keywords

diffusion processaveraging principleMarkov propertyfiltering problemGaussian diffusionconvergence of total variation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites work

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• Convergence in distribution of conditional expectations
• Convergence of filters with applications to the Kalman-Bucy case
• Dynamical equations for optimal nonlinear filtering
• Filtering and control for wide bandwidth noise driven systems
• On diffusion approximations for filtering
• On the optimal filtering of diffusion processes
• Principle of Averaging for Parabolic and Elliptic Differential Equations and for Markov Processes with Small Diffusion
• Stability of regime-switching stochastic differential equations
• Weak convergence methods and singularly perturbed stochastic control and filtering problems

Cited in

(6)

• Filtering the Maximum Likelihood for Multiscale Problems
• A 1-dimensional nonlinear filtering problem
• Convergence rates of nonparametric filtering estimates in autoregression dynamic systems
• Approximation of the Filter Equation for Multiple Timescale, Correlated, Nonlinear Systems
• Dimensional reduction in nonlinear filtering: a homogenization approach
• Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises

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