A PROBLEM IN STOCHASTIC AVERAGING OF NONLINEAR FILTERS

DOI10.1142/S0219493708002445zbMath1153.60363MaRDI QIDQ3548302

N. Sri Namachchivaya, Richard B. Sowers, Jun Hyun Park

Publication date: 11 December 2008

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

homogenizationstochastic partial differential equationsnonlinear filtering

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Averaging method for ordinary differential equations (34C29) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Averaging of perturbations for nonlinear problems in mechanics (70K65)

Related Items (8)

PARTICLE FILTERS IN A MULTISCALE ENVIRONMENT: WITH APPLICATION TO THE LORENZ-96 ATMOSPHERIC MODEL ⋮ Stochastic filtering for multiscale stochastic reaction networks based on hybrid approximations ⋮ Random dynamical systems: addressing uncertainty, nonlinearity and predictability ⋮ Particle filters with nudging in multiscale chaotic systems: with application to the Lorenz '96 atmospheric model ⋮ Effective filtering for slow-fast systems via Wong-Zakai approximation ⋮ Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes ⋮ Data Assimilation in the Detection of Vortices ⋮ Filtering the Maximum Likelihood for Multiscale Problems

Cites Work

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• Convergence in distribution of conditional expectations
• Convergence of nonlinear filters for randomly perturbed dynamical systems
• Robustness of the nonlinear filter
• Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering
• Homogenization for stochastic partial differential equations derived from nonlinear filterings with feedback
• Stochastic processes and filtering theory
• Nonlinear filtering with homogenization
• Convergence of filters with applications to the Kalman-Bucy case
• The perturbed test function method for viscosity solutions of nonlinear PDE
• Homogenization problem for stochastic partial differential equations of Zakai type
• On the optimal filtering of diffusion processes

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