Asymptotic optimality of approximate filters in stochastic systems with colored noises

SIAM Journal on Control and Optimization

Volumn 39, Issue 3, 2000, Pages 917-927

  Le Breton, A ^a   Roubaud, M C ^a  

^a UNIV GRENOBLE ALPES   (France)

Author keywords

Approximate filters; Asymptotic optimality; Colored noises; Nonlinear filtering

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; LINEAR SYSTEMS; NONLINEAR SYSTEMS; OPTIMIZATION; RANDOM PROCESSES; WHITE NOISE;

APPROXIMATE FILTERS; ASYMPTOTIC OPTIMALITY; COLORED NOISES; NONLINEAR STOCHASTIC SYSTEMS; SEMILINEAR STOCHASTIC SYSTEMS;

NONLINEAR FILTERING;

EID: 0034438096     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012998333906     Document Type: Article

References (11)

1. Estimation and control for linear, partially observable systems with non-Gaussian initial distribution
2. Stochastic calculus and applications
3. Stochastic stability of differential equations
4. A conditionally almost linear filtering problem with non-Gaussian initial condition
5. Limit theorems for stochastic processes
6. Linear optimal control systems
7. Asymptotic optimality of approximate filters in stochastic systems with colored noises
8. Filtering formulae for partially observed linear systems with non-Gaussian initial conditions
9. Asymptotic stability of the optimal filter with respect to its initial condition
10. Filtrage non linéaire et équations aux dérivées partielles stochastiques associées
11. On the optimal filtering of diffusion processes