A simple asymptotically optimal filter over an infinite horizon
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Publication:5943719
DOI10.1155/S1048953301000089zbMath0981.60042MaRDI QIDQ5943719
Pavel Chigansky, Robert Sh. Liptser, Ben Zion Bobrovsky
Publication date: 7 November 2001
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/49091
asymptotic optimality; continuous time signal; discrete time observations; indefinite horizon; lower error bound; nonlinear Kalman filter
93E11: Filtering in stochastic control theory
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93C55: Discrete-time control/observation systems
60G35: Signal detection and filtering (aspects of stochastic processes)
