Some Large Deviation Asymptotics in Small Noise Filtering Problems

DOI10.1137/21M142616XzbMath1483.60046arXiv2106.05512MaRDI QIDQ5037496

Amit Apte, Anugu Sumith Reddy, Amarjit Budhiraja

Publication date: 1 March 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.05512

zbMATH Keywords

nonlinear filteringlarge deviation principleLaplace asymptotics4DVARminimum energy estimatesmall observation and signal noise

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Large deviations (60F10)

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