Stiffness of approximate nonlinear filtering equations

MaRDI QIDQ1881847zbMATH OpenFDO

Authors Yu. G. Bulychev, A. V. Eliseev

Publication date 18 October 2004

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

dynamic systemsMarkov processesnonlinear filtering algorithmsstochastic differential equations

Mathematics Subject Classification ID

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

Review text

This paper describes a new approach to synthesizing nonlinear filtering algorithms for the Markov processes described by stiff systems of stochastic differential equations in order to eleminate the stiffness property via integrals. The integrals are found for the so-called truncated system of equations and ensure the required stability of the numerical methods applied to solve nonlinear equations with a large integration step.

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