Nonlinear filtering with homogenization

DOI10.1080/17442508608833383MaRDI QIDQ3677630zbMATH OpenOpenAlexFDO

Authors Alain Bensoussan, Gilmer L. Blankenship

Publication date 1986

Published in Stochastics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1903/4394

zbMATH Keywords

homogenizationnonlinear filtering

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Inference from stochastic processes and prediction (62M20) Nonlinear systems in control theory (93C10) Filtering in stochastic control theory (93E11)

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Cites work

• Almost Sure Stable Oscillations in a Large System of Randomly Coupled Equations
• Characteristics of Random Nets of Analog Neuron-Like Elements
• scientific article; zbMATH DE number 3627589 (Why is no real title available?)
• The diffusion limit for reversible jump processes on Z^ m with ergodic random bond conductivities

Cited in

(15)

• Nonlinear Doob-Meyer decomposition for general filtration
• Asymptotic expansion in nonlinear filtering with homogenization
• Nonlinear filtering with degenerate noise
• Homogenization for stochastic partial differential equations derived from nonlinear filterings with feedback
• A PROBLEM IN STOCHASTIC AVERAGING OF NONLINEAR FILTERS
• Dimensional reduction in nonlinear filtering: a homogenization approach
• On-line estimation of smooth signals with partial observation
• Homogenization of a stochastic nonlinear reaction-diffusion equation with a large reaction term: the almost periodic framework
• Homogenization problem for stochastic partial differential equations of Zakai type
• Approximation of the Filter Equation for Multiple Timescale, Correlated, Nonlinear Systems
• Filtering the Maximum Likelihood for Multiscale Problems
• Data assimilation for a multiscale stochastic dynamical system with Gaussian noise
• Path continuity of the nonlinear filter
• Effective reduction for a nonlocal Zakai stochastic partial differential equation in data assimilation
• Effective filtering for slow-fast systems via Wong-Zakai approximation

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