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

DOI10.1016/0167-6911(95)00037-2zbMath0877.93128MaRDI QIDQ672229

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

Asymptotic analysis; Stochastic differential equations; Gaussian assumed density filter; Gaussian projection filter; Nonlinear filtering; Small observation noise

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

93C10: Nonlinear systems in control theory

Related Items

On some filtering problems arising in mathematical finance, New results on the Gaussian projection filter with small observation noise

Cites Work

• Stochastic models, estimation, and control. Vol. 2,3
• Gaussian approximation in recursive estimation of multiple states of nonlinear Wiener systems
• New results on the Gaussian projection filter with small observation noise
• Stochastic processes and filtering theory
• 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
• A differential geometric approach to nonlinear filtering: the projection filter
• Estimation of the Quadratic Variation of Nearly Observed Semimartingales with Application to Filtering
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