Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part II

DOI10.1137/0144084MaRDI QIDQ3730728zbMATH OpenOpenAlexFDO

Authors R. Katzur, Zeev Schuss, B. Z. Bobrovsky

Publication date 1984

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

Full work available at URL https://doi.org/10.1137/0144084

zbMATH Keywords

asymptotic expansiondensityminimum energy estimatorZakai's equation for the unnormalized conditional probabilityZakai's equation for the unnormalized conditional probability density

Mathematics Subject Classification ID

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

Recommendations

• Asymptotic Analysis of the Optimal Filtering Problem for Two-Dimensional Diffusions Measured in a Low Noise Channel
• Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part I
• Approximate Nonlinear Filtering for a Two-Dimensional Diffusion with One-Dimensional Observations in a Low Noise Channel
• Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
• A bound approach to asymptotic optimality in non-linear filtering of diffusion processes

Cited in

(12)

• Volatility estimation of hidden Markov processes and adaptive filtration
• Estimation of anthracnose dynamics by nonlinear filtering
• On the optimal filtering problem for the cubic sensor
• Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part I
• Upper and lower bounds and asymptotics of the optimal filtering error of a stationary process with a small information rate
• Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel
• An approximate filter for a partially observed piecewise linear system with small observation noise
• A bound approach to asymptotic optimality in non-linear filtering of diffusion processes
• On an Optimal Filtration Problem for One-Dimensional Diffusion Processes
• Asymptotic Analysis of the Optimal Filtering Problem for Two-Dimensional Diffusions Measured in a Low Noise Channel
• A filter with a guaranteed asymptotic performance
• Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio

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