A simple asymptotically optimal filter over an infinite horizon

DOI10.1155/S1048953301000089zbMath0981.60042OpenAlexW2144106289MaRDI QIDQ5943719

Ben Zion Bobrovsky, Pavel Chigansky, Robert Sh. Liptser

Publication date: 7 November 2001

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/49091

zbMATH Keywords

asymptotic optimalitycontinuous time signaldiscrete time observationsindefinite horizonlower error boundnonlinear Kalman filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Discrete-time control/observation systems (93C55) Signal detection and filtering (aspects of stochastic processes) (60G35)

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