Estimation of the Quadratic Variation of Nearly Observed Semimartingales with Application to Filtering
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Publication:4695412
DOI10.1137/0331023zbMath0770.93088OpenAlexW2094970485MaRDI QIDQ4695412
Publication date: 21 July 1993
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0331023
Robustness and adaptive procedures (parametric inference) (62F35) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)
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New results on the Gaussian projection filter with small observation noise ⋮ On the nice behaviour of the Gaussian projection filter with small observation noise ⋮ On control of two-scale stochastic systems with linear dynamics in the fast variables
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