On the nice behaviour of the Gaussian projection filter with small observation noise

DOI10.1016/0167-6911(95)00037-2MaRDI QIDQ672229zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

Stochastic differential equationsAsymptotic analysisGaussian assumed density filterGaussian projection filterNonlinear filteringSmall observation noise

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10)

Recommendations

• New results on the Gaussian projection filter with small observation noise
• Approximate nonlinear filtering by projection on exponential manifolds of densities
• Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters
• A differential geometric approach to nonlinear filtering: the projection filter
• Approximate and limit results for nonlinear filters with small observation noise: the linear sensor and constant diffusion coefficient case

Cites work

• scientific article; zbMATH DE number 3773484 (Why is no real title available?)
• scientific article; zbMATH DE number 3282899 (Why is no real title available?)
• A differential geometric approach to nonlinear filtering: the projection filter
• Efficiency of the Extended Kalman Filter for Nonlinear Systems with Small Noise
• Estimation of the Quadratic Variation of Nearly Observed Semimartingales with Application to Filtering
• Gaussian approximation in recursive estimation of multiple states of nonlinear Wiener systems
• New results on the Gaussian projection filter with small observation 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
• Stochastic processes and filtering theory

Cited in

(3)

• On some filtering problems arising in mathematical finance
• Optimal projection filters with information geometry
• New results on the Gaussian projection filter with small observation noise

This page was built for publication: On the nice behaviour of the Gaussian projection filter with small observation noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q672229)