Asymptotic Analysis of the Optimal Filtering Problem for Two-Dimensional Diffusions Measured in a Low Noise Channel

DOI10.1137/0150068zbMath0701.93098OpenAlexW2021279192MaRDI QIDQ3479951

Zeev Schuss, Ben Zion Bobrovsky, Isaac Yaesh

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1137/0150068

zbMATH Keywords

stochastic differential equationssingular perturbationsoptimal filteringnonlinear driftmonotone nonlinear low noise channelsingle output two-dimensional diffusion process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Singular perturbations in context of PDEs (35B25) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60)

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