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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
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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)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.