Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
DOI10.1137/0146065zbMATH Open0617.93057OpenAlexW2003793708MaRDI QIDQ3754528FDOQ3754528
Authors: 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
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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)
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- Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part II
- Estimation of the Quadratic Variation of Nearly Observed Semimartingales with Application to Filtering
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- Linear Filtering with Fractional Noises: Large Time and Small Noise Asymptotics
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