Deterministic and stochastic approaches to nonlinear filtering (Q2722576)
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scientific article; zbMATH DE number 1617857
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Deterministic and stochastic approaches to nonlinear filtering |
scientific article; zbMATH DE number 1617857 |
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29 January 2002
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stochastic filtering
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deterministic filtering
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risk-sensitive filtering
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small noise limit
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Deterministic and stochastic approaches to nonlinear filtering (English)
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The paper summarizes various results regarding the connections between deterministic and stochastic nonlinear filtering. In particular it is shown that robust nonlinear filtering (as originated by the deterministic approach of Mortensen) can be obtained as the limit for vanishing noise of stochastic filters based on risk-sensitive optimality criteria.NEWLINENEWLINEFor the entire collection see [Zbl 0961.00036].
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