Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part II

DOI10.1137/0144084zbMath0597.60035OpenAlexW4249557314MaRDI QIDQ3730728

Zeev Schuss, R. Katzur, Ben Zion Bobrovsky

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1137/0144084

zbMATH Keywords

asymptotic expansiondensityminimum energy estimatorZakai's equation for the unnormalized conditional probabilityZakai's equation for the unnormalized conditional probability density

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (4)

On the optimal filtering problem for the cubic sensor ⋮ Estimation of anthracnose dynamics by nonlinear filtering ⋮ 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

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