On diffusion approximations for filtering

DOI10.1016/0304-4149(91)90092-QzbMath0732.60054OpenAlexW2069597515MaRDI QIDQ808521

Robert Sh. Liptser, Wolfgang J. Runggaldier

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0304-4149(91)90092-q

zbMATH Keywords

diffusion approximationadditive wide bandwidth noisediffusion approximation for semimartingales

Mathematics Subject Classification ID

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

Related Items (1)

Nonlinear filtering problem with contamination

Cites Work

• Semimartingales and measure preserving flows
• Filtering and control for wide bandwidth noise driven systems
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