Nonlinear filtering problem with contamination

DOI10.1214/aoap/1043862418zbMath0895.60045OpenAlexW2029365800MaRDI QIDQ1379714

Marina Kleptsyna, Robert Sh. 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 propertyGaussian diffusionfiltering problemconvergence of total variation

Mathematics Subject Classification ID

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

Related Items (4)

Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises ⋮ Approximation of the Filter Equation for Multiple Timescale, Correlated, Nonlinear Systems ⋮ Dimensional reduction in nonlinear filtering: a homogenization approach ⋮ Filtering the Maximum Likelihood for Multiscale Problems

Cites Work

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