Filltering of a partially observed process in the case of a high signal –to–noise ratio for correlated systems

DOI10.1080/07362990008809674zbMATH Open0951.60049OpenAlexW2086836818MaRDI QIDQ4487012FDOQ4487012

Authors: M.-N. Dietsch 

Publication date: 21 June 2000

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990008809674

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zbMATH Keywords

nonlinear filteringcorrelated noisesZakai and Kushner-Stratonovitch type equations

Mathematics Subject Classification ID

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

Cites Work

• On the optimal filtering of diffusion processes
• On the gap between deterministic and stochastic ordinary differential equations
• Title not available (Why is that?)
• Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part I
• Title not available (Why is that?)

Cited In (8)

• Finite-dimensional filter for a class of nonlinear systems with correlated noises
• Title not available (Why is that?)
• On the relation between filter maps and correction factors in likelihood ratios
• Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel
• Nonlinear filtering with correlated noises in the case of high signal-to-noise ratio
• Discrete-time filtering of noise correlated continuous-time processes: modeling and derivation of the sampling period sensitivities
• Title not available (Why is that?)
• Filtering at high noise levels

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