Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
DOI10.1137/0146065zbMATH Open0617.93057OpenAlexW2003793708MaRDI QIDQ3754528FDOQ3754528
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
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Limit theorems in probability theory (60F99) Singular perturbations for ordinary differential equations (34E15) Nonlinear systems in control theory (93C10)
Cited In (24)
- NONLINEAR FILTERING OF SMOOTH SIGNALS
- Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case
- New results on the Gaussian projection filter with small observation noise
- On the optimal filtering problem for the cubic sensor
- On-line estimation of smooth signals with partial observation
- A note on the memory length of optimal nonlinear filters
- Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel
- A 1-dimensional nonlinear filtering problem
- Filtrage d'une diffusion reflechie a sauts, observee a travers un processus ponctuel marque
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- Ergodic control of diffusions with random intervention times
- Error bounds for the nonlinear filtering of signals with small diffusion coefficients
- An approximate filter for a partially observed piecewise linear system with small observation noise
- Piecewise linear filtering with small observation noise
- Estimation of the Quadratic Variation of Nearly Observed Semimartingales with Application to Filtering
- Estimation for stochastic differential equations with a small diffusion coefficient
- Title not available (Why is that?)
- Approximate Nonlinear Filtering for a Two-Dimensional Diffusion with One-Dimensional Observations in a Low Noise Channel
- Optimal structure of recurrent nonlinear filters of large order for diffusion signals
- On some finite dimensional nonlinear filters for certain diffusions observed in correlated noise
- Linear Filtering with Fractional Noises: Large Time and Small Noise Asymptotics
- Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance
- On the nice behaviour of the Gaussian projection filter with small observation noise
- The detection and estimation of the change point in a disccrete-time stochastic system
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