Approximate Nonlinear Filtering for a Two-Dimensional Diffusion with One-Dimensional Observations in a Low Noise Channel

DOI10.1137/S0363012902363920zbMATH Open1039.93063OpenAlexW1987156218MaRDI QIDQ4442963FDOQ4442963

Authors: Paula M. L. P. Milheiro de Oliveira, Jean Picard 

Publication date: 8 January 2004

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012902363920

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zbMATH Keywords

nonlinear filteringapproximate filtersstochastic differential models

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Cited In (11)

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• Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel
• Error bounds for the nonlinear filtering of signals with small diffusion coefficients
• A bound approach to asymptotic optimality in non-linear filtering of diffusion processes
• Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part II
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• Piecewise Monotone Filtering with Small Observation Noise
• Asymptotic Analysis of the Optimal Filtering Problem for Two-Dimensional Diffusions Measured in a Low Noise Channel
• Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
• Approximate and limit results for nonlinear filters with small observation noise: the linear sensor and constant diffusion coefficient case

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