Non-linear filtering of rare events with large signal-to-noise ratio

DOI10.2307/3214217zbMath0636.60044OpenAlexW4238838308MaRDI QIDQ3776314

Andrew J. Heunis

Publication date: 1987

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214217

zbMATH Keywords

nonlinear filteringglobal boundednessspectral densitysmall noise diffusionsLévy-Baxter theoremgeneralized Gaussian field with independent incrementsiven a generalized random field

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (3)

Some Large Deviation Asymptotics in Small Noise Filtering Problems ⋮ The detection and estimation of the change point in a disccrete-time stochastic system ⋮ Sequential stochastic control (single or multi-agent) problems nearly admit change of measures with independent measurement

This page was built for publication: Non-linear filtering of rare events with large signal-to-noise ratio