Nonlinear filtering and large deviations:a pde-control theoretic approach

DOI10.1080/17442508808833500zbMath0642.93059OpenAlexW2042285941MaRDI QIDQ3783923

John S. Baras, Matthew R. James

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833500

zbMATH Keywords

convergenceHamilton-Jacobi-Bellman equationviscosity solutionlarge deviation principleasymptotic nonlinear filtering

Mathematics Subject Classification ID

Related Items (5)

Some Large Deviation Asymptotics in Small Noise Filtering Problems ⋮ Consistent parameter estimation for partially observed diffusions with small noise ⋮ Mortensen observer for a class of variational inequalities – lost equivalence with stochastic filtering approaches ⋮ A discrete-time optimal filtering approach for non-linear systems as a stable discretization of the Mortensen observer ⋮ Unnamed Item

Cites Work

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• Asymptotic Bayesian estimation of a first order equation with small diffusion
• Maximum-likelihood recursive nonlinear filtering
• Two approximations of solutions of Hamilton-Jacobi equations
• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes

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