On the nice behaviour of the Gaussian projection filter with small observation noise

DOI10.1016/0167-6911(95)00037-2zbMath0877.93128OpenAlexW2034609989WikidataQ127305675 ScholiaQ127305675MaRDI QIDQ672229

Damiano Brigo

Publication date: 27 February 1997

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(95)00037-2

zbMATH Keywords

Asymptotic analysisStochastic differential equationsGaussian assumed density filterGaussian projection filterNonlinear filteringSmall observation noise

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10)

Related Items (3)

New results on the Gaussian projection filter with small observation noise ⋮ Optimal projection filters with information geometry ⋮ On some filtering problems arising in mathematical finance

Cites Work

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• Stochastic models, estimation, and control. Vol. 2,3
• Gaussian approximation in recursive estimation of multiple states of nonlinear Wiener systems
• New results on the Gaussian projection filter with small observation noise
• Stochastic processes and filtering theory
• Efficiency of the Extended Kalman Filter for Nonlinear Systems with Small Noise
• Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
• A differential geometric approach to nonlinear filtering: the projection filter
• Estimation of the Quadratic Variation of Nearly Observed Semimartingales with Application to Filtering

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