On the nice behaviour of the Gaussian projection filter with small observation noise
DOI10.1016/0167-6911(95)00037-2zbMATH Open0877.93128OpenAlexW2034609989WikidataQ127305675 ScholiaQ127305675MaRDI QIDQ672229FDOQ672229
Authors: Damiano Brigo 
Publication date: 27 February 1997
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6911(95)00037-2
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Cites Work
- Stochastic processes and filtering theory
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- Efficiency of the Extended Kalman Filter for Nonlinear Systems with Small Noise
- Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
- Stochastic models, estimation, and control. Vol. 2,3
- A differential geometric approach to nonlinear filtering: the projection filter
- Title not available (Why is that?)
- Gaussian approximation in recursive estimation of multiple states of nonlinear Wiener systems
- New results on the Gaussian projection filter with small observation noise
- Estimation of the Quadratic Variation of Nearly Observed Semimartingales with Application to Filtering
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