Piecewise Monotone Filtering with Small Observation Noise

DOI10.1137/0327061zbMath0689.93067OpenAlexW2175593785MaRDI QIDQ3032181

Wendell H. Fleming, Etienne Pardoux

Publication date: 1989

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0327061

zbMATH Keywords

Nonlinear filteringMarkov diffusion processesapproximate finite dimensional filtersdetectability hypothesissmall observation noise

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Diffusion processes (60J60)

Related Items (6)

Piecewise linear filtering with small observation noise ⋮ An alternative sequential method for the state estimation of a partially observed SETAR(1) process ⋮ Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel ⋮ An approximate filter for a partially observed piecewise linear system with small observation noise ⋮ Optimal filtering of discrete-time hybrid systems ⋮ Nonlinear filtering of an interactive multiple model with small observation noise: numerical methods^∗

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