Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio

DOI10.1137/0146065zbMath0617.93057OpenAlexW2003793708MaRDI QIDQ3754528

Jean Picard

Publication date: 1986

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

Full work available at URL: https://hal.inria.fr/inria-00076154/file/RR-0402.pdf

zbMATH Keywords

singular perturbationsextended Kalman filterscalar diffusionasymptotic nonlinear filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Singular perturbations for ordinary differential equations (34E15) Limit theorems in probability theory (60F99)

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