A robust discrete state approximation to the optimal nonlinear filter for a diffusion. (English) Zbl 0421.60054
MSC:
60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
60G35 | Signal detection and filtering (aspects of stochastic processes) |
62L20 | Stochastic approximation |
93E11 | Filtering in stochastic control theory |
References:
[1] | Kushner H. J., Journal of Differential Equations pp 179– (1970) |
[2] | Fujisaki M., Osaka, J. Math pp 19– (1972) |
[3] | Kushner H. J., Probability Methods for Approximations in Stochastic Control and for Elliptic Equations (1977) · Zbl 0547.93076 |
[4] | DOI: 10.1016/0022-247X(78)90072-0 · Zbl 0379.93053 · doi:10.1016/0022-247X(78)90072-0 |
[5] | Clark J. M. C., NATO Advanced Study Institute Series, in: Comm. Systems and Random Process Theory (1978) |
[6] | Wonham W. M., SI AM J. on Control 2 pp 347– (1965) |
[7] | Lipster R.S., Statistics of Random Processes (1977) |
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