Large deviation principle for optimal filtering

DOI10.1007/s00245-002-0759-xzbMath1025.60012OpenAlexW1964637618MaRDI QIDQ1401569

Jie Xiong

Publication date: 18 August 2003

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-002-0759-x

zbMATH Keywords

large deviation principleoptimal filteringexponential tightnessexponential continuity

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Large deviations (60F10)

Related Items (3)

Some Large Deviation Asymptotics in Small Noise Filtering Problems ⋮ Large deviations for optimal filtering with fractional Brownian motion ⋮ Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise

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