Nonlinear filtering with homogenization

DOI10.1080/17442508608833383zbMath0563.93065OpenAlexW2061501875MaRDI QIDQ3677630

Gilmer L. Blankenship, Alain Bensoussan

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1903/4394

zbMATH Keywords

homogenizationnonlinear filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Asymptotic behavior of solutions to PDEs (35B40) Nonlinear systems in control theory (93C10) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60)

Related Items (9)

Approximation of the Filter Equation for Multiple Timescale, Correlated, Nonlinear Systems ⋮ Dimensional reduction in nonlinear filtering: a homogenization approach ⋮ Effective reduction for a nonlocal Zakai stochastic partial differential equation in data assimilation ⋮ Effective filtering for slow-fast systems via Wong-Zakai approximation ⋮ On-line estimation of smooth signals with partial observation ⋮ Homogenization of a stochastic nonlinear reaction-diffusion equation with a large reaction term: the almost periodic framework ⋮ Data assimilation for a multiscale stochastic dynamical system with Gaussian noise ⋮ A PROBLEM IN STOCHASTIC AVERAGING OF NONLINEAR FILTERS ⋮ Filtering the Maximum Likelihood for Multiscale Problems

Cites Work

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• The diffusion limit for reversible jump processes on \(Z^ m\) with ergodic random bond conductivities
• Almost Sure Stable Oscillations in a Large System of Randomly Coupled Equations
• Characteristics of Random Nets of Analog Neuron-Like Elements

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