Filltering of a partially observed process in the case of a high signal –to–noise ratio for correlated systems

DOI10.1080/07362990008809674zbMath0951.60049OpenAlexW2086836818MaRDI QIDQ4487012

M.-N. Dietsch

Publication date: 21 June 2000

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990008809674

zbMATH Keywords

nonlinear filteringcorrelated noisesZakai and Kushner-Stratonovitch type equations

Mathematics Subject Classification ID

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

Related Items (1)

Approximate filter for a two-dimensional nonlinear diffusion observed in a correlated low noise channel

Cites Work

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• On the gap between deterministic and stochastic ordinary differential equations
• Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part I
• On the optimal filtering of diffusion processes

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