Approximation and Limit Results for Nonlinear Filters Over an Infinite Time Interval: Part II, Random Sampling Algorithms

@article{Budhiraja2000ApproximationAL,
  title={Approximation and Limit Results for Nonlinear Filters Over an Infinite Time Interval: Part II, Random Sampling Algorithms},
  author={Amarjit Budhiraja and Harold J. Kushner},
  journal={SIAM J. Control and Optimization},
  year={2000},
  volume={38},
  pages={1874-1908}
}
The paper is concerned with approximations to nonlinear filtering problems that are of interest over a very long time interval. Since the optimal filter can rarely be constructed, one needs to compute with numerically feasible approximations. The signal model can be a jump–diffusion or just a process that is approximated by a jump–diffusion. The observation noise can be either white or of wide bandwidth. The observations can be taken either in discrete or continuous time. The cost of interest… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-10 of 31 references

Approximation and limit results for nonlinear filters with wide bandwidth observation noise

H. J. Kushner, H. Huang
Stochastics Stochastics Rep., 16:65–96 • 1986
View 4 Excerpts
Highly Influenced

Approximation and Weak Convergence Methods for Random Processes with Applications to Stochastic Systems Theory

H. J. Kushner
MIT Press, Cambridge, MA • 1984
View 4 Excerpts
Highly Influenced

Numerical Methods for Stochastic Control Problems in Continuous Time

H. J. Kushner, P. Dupuis
Springer-Verlag, Berlin and New York • 1992
View 4 Excerpts
Highly Influenced

Asymptotic behavior of the nonlinear filtering errors of a Markov process

H. Kunita
J. Multivariate Anal., • 1971
View 3 Excerpts
Highly Influenced

Exponential stability of discrete time filters without signal ergodicity

A. Budhiraja, D. Ocone
System and Control Letters, 30:185–193 • 1997
View 2 Excerpts

Asymptotic Stability of the optimal filter with respect to its initial condition

D. Ocone, E. Pardoux
SIAM J. Contr. Optim., • 1996
View 1 Excerpt

Pardoux Asymptotic Stability of the optimal filter with respect to its initial condition

E.
SIAM J . Contr . Optim . • 1996

Similar Papers

Loading similar papers…