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A robust discrete state approximation to the optimal nonlinear filter for a diffusiont†

 

作者: Harold J. Kushner,  

 

期刊: Stochastics  (Taylor Available online 1980)
卷期: Volume 3, issue 1-4  

页码: 75-83

 

ISSN:0090-9491

 

年代: 1980

 

DOI:10.1080/17442507908833139

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

A robust computable approximation to the nonlinear filtering problem for a diffusion model is treated, where the system and data models are given by. The approximation (with approximation parameter h) is robust in the sense that it is locally Lipschitz continuous in the data y( °) (sup norm) uniformly inhand, ash→0, it converges to the optimal filter for the diffusion.

 

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