Tracking of signals and its derivatives in Gaussian white noise

DOI10.1016/S0304-4149(97)00046-XMaRDI QIDQ1275949zbMATH OpenOpenAlexFDO

Authors Pao-Liu Chow, R. Z. Khas'minskiĭ, R. Liptser

Publication date 14 January 1999

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

Full work available at URL https://doi.org/10.1016/s0304-4149(97)00046-x

zbMATH Keywords

Gaussian white noisekernel estimatoron-line tracking algorithm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Let \(S(t)\) be a smooth signal, the information of which is given by the observation of a random process \(X_t,\;t\geq 0\), with \[ dX_t=S(t)dt+\varepsilon dW_t,\quad X_0=0, \] where \(W_t,\;t\geq 0\), is a Wiener process and \(\varepsilon \) is a small parameter. An on-line tracking algorithm for the signal and its derivatives up to a given order is proposed and the asymptotic optimality in the minimax sense, with respect to small intensity of the noise, is established. The signal \(S\) and its respective derivatives are assumed to be Hölder continuous and bounded at zero.

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Cites work

• Estimates of the Signal, Its Derivatives and Point of Maximum for Gaussian Distributions
• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
• scientific article; zbMATH DE number 3576395 (Why is no real title available?)
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Cited in

(9)

• On estimation of time dependent spatial signal in Gaussian white noise.
• Tracking volatility
• Estimation and prediction of a non-constant volatility
• LMMSE Filtering in Feedback Systems With White Random Modes: Application to Tracking in Clutter
• Tracking a wiener process with a process of finite energy
• Performance estimates in tracking under white-noise perturbations
• On-line estimation of smooth signals with partial observation
• NONLINEAR FILTERING OF SMOOTH SIGNALS
• On-line tracking of a smooth regression function

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