scientific article; zbMATH DE number 16917

MaRDI QIDQ3973608zbMATH OpenFDO

Authors Wendell Fleming, Q. Zhang

Publication date 26 June 1992

zbMATH Keywords

approximate filtersdiscrete-time nonlinear filtering probleminterval of monotonicity

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Filtering in stochastic control theory (93E11)

Review text

[For the entire collection see Zbl 0724.00018.] Following previous works which were dealing with the continuous-time case, the authors consider a one-dimensional discrete-time nonlinear filtering problem in which the observation function is piecewise monotone. Under a detectability assumption, they describe a filter which is asymptotically optimal as the noise tends to zero; in order to choose the interval of monotonicity in which the signal is, they use a test based on the quadratic variation of the observation. They prove some bounds on the error probabilities and estimate the time which is necessary to take a decision.

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