Observation sampling and quantisation for continuous-time estimators.

DOI10.1016/S0304-4149(99)00117-9MaRDI QIDQ1877401zbMATH OpenFDO

Authors Nigel J. Newton

Publication date 7 September 2004

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4149(99)00117-9

zbMATH Keywords

approximationcontinuous-time Bayesian estimationnonlinear filteringover-samplingquantisationweak convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monte Carlo methods (65C05) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Optimal stochastic control (93E20)

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Cites work

• A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
• An approximation for the nonlinear filtering problem, with error bound^†
• An asymptotically efficient difference formula for solving stochastic differential equations
• Approximate Integration of Stochastic Differential Equations
• Approximation and Limit Results for Nonlinear Filters Over an Infinite Time Interval
• Calcul stochastique d�pendant d'un param�tre
• Conditional Markov Processes
• Discrete time Galerkin approximations to the nonlinear filtering solution
• Dynamical equations for optimal nonlinear filtering
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
• scientific article; zbMATH DE number 3858997 (Why is no real title available?)
• scientific article; zbMATH DE number 3878814 (Why is no real title available?)
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
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• scientific article; zbMATH DE number 3766795 (Why is no real title available?)
• scientific article; zbMATH DE number 140599 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 3894184 (Why is no real title available?)
• Nonlinear filtering and measure-valued processes
• Observations Preprocessing and Quantization for Nonlinear Filters
• On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
• On the optimal filtering of diffusion processes
• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes
• Robust filtering for correlated multidimensional observations
• Robustesse de la solution des problemes de filtrage avec bruit blanc independant^†
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• Stochastic differential equations for the non linear filtering problem
• Une propriete de continuite en filtrage non lineaire

Cited in

(8)

• Effects of sampling and quantization on single-tone frequency estimation
• Quantization Based Filtering Method Using First Order Approximation
• Monte Carlo methods for backward equations in nonlinear filtering
• Nonparametric estimation algorithms based on input quantization (Corresp.)
• Fixed-order sampled-data estimation
• The effect of quantization on the performance of sampling designs
• Approximate estimation for systems with quantized data
• Optimal quantization methods for nonlinear filtering with discrete-time observations

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