Nonlinear filtering with perfect discrete time observations
Joannides, Marc ; Le Gland, François
HAL, hal-00912062 / Harvested from HAL
Text on HAL
We consider the problem of estimating the state of a diffusion process, based on discrete time observations in singular noise. We reduce the problem to a static problem, and we show that the solution is provided by the area or co-area formula of geometric measure theory, provided the observed value is a regular value of the observation function. In order to address the case of singular values, we propose another approach, based on small-noise perturbation and asymptotics of Laplace integrals
Publié le : 1995-12-05
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00912062,
     author = {Joannides, Marc and Le Gland, Fran\c cois},
     title = {Nonlinear filtering with perfect discrete time observations},
     journal = {HAL},
     volume = {1995},
     number = {0},
     year = {1995},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00912062}
}

Joannides, Marc; Le Gland, François. Nonlinear filtering with perfect discrete time observations. HAL, Tome 1995 (1995) no. 0, . http://gdmltest.u-ga.fr/item/hal-00912062/