Nonlinear filtering problem with contamination
Kleptsina, M. L. ; Liptser, R. Sh. ; Serebrovski, A. P.
Ann. Appl. Probab., Tome 7 (1997) no. 1, p. 917-934 / Harvested from Project Euclid
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We give an approximation for optimal filtering estimates of a diffusion type signal and its observation under contamination affecting their drifts. The method of analysis is based on the averaging principle and convergence in total variation for distributions of signal and observation.
Publié le : 1997-11-14
Classification:  Diffusions,  averaging principle,  convergence of total variation,  60G35 
@article{1043862418,
     author = {Kleptsina, M. L. and Liptser, R. Sh. and Serebrovski, A. P.},
     title = {Nonlinear filtering problem with contamination},
     journal = {Ann. Appl. Probab.},
     volume = {7},
     number = {1},
     year = {1997},
     pages = { 917-934},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1043862418}
}

Kleptsina, M. L.; Liptser, R. Sh.; Serebrovski, A. P. Nonlinear filtering problem with contamination. Ann. Appl. Probab., Tome 7 (1997) no. 1, pp.  917-934. http://gdmltest.u-ga.fr/item/1043862418/