Approximate and limit results for nonlinear filters with wide bandwith observation noise

DOI10.1080/17442508608833367zbMATH Open0595.60046OpenAlexW1998999025MaRDI QIDQ3727067FDOQ3727067

Authors: Harold J. Kushner, Hai Huang 

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833367

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zbMATH Keywords

weak convergencenonlinear filtering theorycomparison estimatorswide bandwidth filterswide bandwidth observation noise

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Central limit and other weak theorems (60F05) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

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• A finitely additive white noise approach to nonlinear filtering
• Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides
• Multiple Integral Expansions for Nonlinear Filtering
• Probability methods for approximations in stochastic control and for elliptic equations
• Dynamical equations for optimal nonlinear filtering
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• Asymptotic analysis of P.D.E.s with wide–band noise disturbances, and expansion of the moments
• Approximating multiple itô integrals with "band limited" processes

Cited In (10)

• The effect of a zero memory nonlinearity on the bandlimitedness of contaminated Gaussian inputs (Corresp.)
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Uniform time average consistency of Monte Carlo particle filters
• Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric
• A Stroock Varadhan support theorem in non-linear filtering theory
• Combined filtering and parameter estimation: Approximations and robustness
• Title not available (Why is that?)
• Title not available (Why is that?)
• Limits for parabolic partial differential equations with wide band stochastic coefficients andan application to filtering theory
• Approximate and limit results for nonlinear filters with small observation noise: the linear sensor and constant diffusion coefficient case

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