New results on the Gaussian projection filter with small observation noise

DOI10.1016/0167-6911(96)00038-2zbMath0875.93556OpenAlexW2008831094MaRDI QIDQ1350956

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(96)00038-2

zbMATH Keywords

Asymptotic analysisGirsanov transformationStochastic differential equationsGaussian assumed density filterGaussian projection filterNonlinear filteringSmall observation noiseDifferential geometry and statisticsOne dimensional filter

Mathematics Subject Classification ID

Related Items (3)

Optimal projection filters with information geometry ⋮ On the nice behaviour of the Gaussian projection filter with small observation noise ⋮ On some filtering problems arising in mathematical finance

Cites Work

• On the nice behaviour of the Gaussian projection filter with small observation noise
• Stochastic models, estimation, and control. Vol. 2,3
• 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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