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

DOI10.1080/17442508608833367MaRDI QIDQ3727067zbMATH OpenOpenAlexFDO

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

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)

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• A finitely additive white noise approach to nonlinear filtering
• Approximating multiple itô integrals with "band limited" processes
• Asymptotic analysis of P.D.E.s with wide–band noise disturbances, and expansion of the moments
• Dynamical equations for optimal 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

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• Limits for parabolic partial differential equations with wide band stochastic coefficients andan application to filtering theory
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• A partial history of the early development of continuous-time nonlinear stochastic systems theory
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• Approximate and limit results for nonlinear filters with small observation noise: the linear sensor and constant diffusion coefficient case

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