Nonlinear Filtering with Perfect Discrete Time Observations
نویسنده
چکیده
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 ge~ metric 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 asymptotic of Laplace integrals.
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تاریخ انتشار 1995