Asymptotic Analysis of the Optimal Filtering Problem for Two-Dimensional Diffusions Measured in a Low Noise Channel

DOI10.1137/0150068zbMath0701.93098MaRDI QIDQ3479951

Zeev Schuss, Ben Zion Bobrovsky, Isaac Yaesh

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1137/0150068

zbMATH Keywords

stochastic differential equations; singular perturbations; optimal filtering; nonlinear drift; monotone nonlinear low noise channel; single output two-dimensional diffusion process

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

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

35B25: Singular perturbations in context of PDEs

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

60J60: Diffusion processes

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