Fixed-Point Smoothing of Scalar Diffusions II: The Error of the Optimal Smoother

DOI10.1137/S0036139997321220zbMath0979.60042MaRDI QIDQ2706087

Zeev Schuss, Ben Zion Bobrovsky, Y. Steinberg

Publication date: 19 March 2001

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equations; singular perturbations; filtering

Mathematics Subject Classification ID

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

35C20: Asymptotic expansions of solutions to PDEs

60H15: Stochastic partial differential equations (aspects of stochastic analysis)