An approximation for the nonlinear filtering problem, with error bound†

DOI10.1080/17442508508833342zbMath0566.60046OpenAlexW1996943585MaRDI QIDQ3681661

Wolfgang J. Runggaldier, Maurizio Pratelli, Giovanni B. Di Masi

Publication date: 1985

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508508833342

zbMATH Keywords

nonlinear filtering problemestimates of the errorfinite-dimensional equationapproximate filter

Mathematics Subject Classification ID

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

Related Items

Observation sampling and quantisation for continuous-time estimators., Approximate nonlinear filtering for piecewise linear systems, A branching particle system approximation for nonlinear stochastic filtering, A small time approximation for the solution to the Zakai equation, Discrete approximation of nonlinear filtering for stochastic delay equations, A Stroock Varadhan support theorem in non-linear filtering theory, A Kushner-Stratonovich Monte Carlo filter applied to nonlinear dynamical system identification, A backward particle interpretation of Feynman-Kac formulae, Optimal quantization methods for nonlinear filtering with discrete-time observations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Probability methods for approximations in stochastic control and for elliptic equations
• Continuous-time approximations for the nonlinear filtering problem
• On measure transformations for combined filtering and parameter estimation in discrete time