Piecewise linear filtering with small observation noise

DOI10.1007/BF01185229zbMath0824.60041OpenAlexW1985034462MaRDI QIDQ1895799

M.-C. Roubaud

Publication date: 6 November 1995

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01185229

zbMATH Keywords

Kalman-Bucy filtersmall observation noisepiecewise linear filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (3)

An alternative sequential method for the state estimation of a partially observed SETAR(1) process ⋮ Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel ⋮ An approximate filter for a partially observed piecewise linear system with small observation noise

Cites Work

• Uniqueness for diffusions with piecewise constant coefficients
• Stochastic processes and filtering theory
• Stochastic differential equations for the non linear filtering problem
• Piecewise Monotone Filtering with Small Observation Noise
• Des resultats de non existence de filtre de dimension finie
• Efficiency of the Extended Kalman Filter for Nonlinear Systems with Small Noise
• Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part I
• Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
• On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
• On the optimal filtering of diffusion processes
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