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

DOI10.1137/S0363012902363920MaRDI QIDQ4442963zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

approximate filtersnonlinear filteringstochastic differential models

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

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• Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
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