Fixed-Point Smoothing of Scalar Diffusions II: The Error of the Optimal Smoother

DOI10.1137/S0036139997321220zbMath0979.60042MaRDI QIDQ2706087

Y. Steinberg, Zeev Schuss, Ben Zion Bobrovsky

Publication date: 19 March 2001

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationssingular perturbationsfiltering

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic expansions of solutions to PDEs (35C20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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