Convergence of nonlinear filters for randomly perturbed dynamical systems

Applied Mathematics and Optimization

Volumn 48, Issue 2, 2003, Pages 93-128

  Lucic, Vladimir M ^a   Heunis, Andrew J ^b  

^a TD Securities   (United Kingdom)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Martingale problems; Measure valued processes; Nonlinear filter equations; Weak convergence

Indexed keywords

FUNCTIONS; MARKOV PROCESSES; MATHEMATICAL MODELS; NONLINEAR EQUATIONS; ORDINARY DIFFERENTIAL EQUATIONS; PROBABILITY; PROBLEM SOLVING; THEOREM PROVING;

MARTINGALE PROBLEMS; MEASURE-VALUED PROCESSES; NONLINEAR FILTERS; RANDOMLY PERTURBED DYNAMICAL SYSTEMS; WEAK CONVERGENCE;

PERTURBATION TECHNIQUES;

EID: 0142059896     PISSN: 00954616     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00245-003-0772-8     Document Type: Article

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