Approximate finite-dimensional filters for some nonlinear problems

DOI10.1080/17442508208833218zbMath0494.93048OpenAlexW2014949419MaRDI QIDQ3958366

Héctor J. Sussmann

Publication date: 1982

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508208833218

zbMATH Keywords

nonlinear filteringfactorization operatornoisy nonlinear observation of a Brownian motionnormalized robust solution

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Asymptotic expansions of solutions to ordinary differential equations (34E05)

Related Items (3)

A filtering problem with a small nonlinear term ⋮ A bound approach to asymptotic optimality in non-linear filtering of diffusion processes ⋮ Nonexistence of finite-dimensional filters for conditional statistics of the cubic sensor problem

Cites Work

• On the gap between deterministic and stochastic ordinary differential equations

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