A note on the memory length of optimal nonlinear filters

DOI10.1016/S0167-6911(98)00045-0zbMath0909.93067WikidataQ126977434 ScholiaQ126977434MaRDI QIDQ1274885

Rami Atar, Ofer Zeitouni

Publication date: 12 January 1999

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

nonlinear filteringdiffusion processesmemory lengthasymptotically optimal filters

Mathematics Subject Classification ID

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

Cites Work

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• Asymptotic Bayesian estimation of a first order equation with small diffusion
• Exponential stability for nonlinear filtering
• Lyapunov Exponents for Finite State Nonlinear Filtering
• Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition

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