Abstract
This work deals with the problem of estimating a state process, the measurements of which are corrupted by an independent white noise of order ε. We derive a finite-dimensional filter which is asymptotically optimal as ε → 0 and we estimate the rate of convergence with a new method. We also obtain an approximate solution of the smoothing problem.
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© 1988 D. Reidel Publishing Company
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Picard, J. (1988). Nonlinear Filtering and Smoothing with High Signal-to-Noise Ratio. In: Albeverio, S., Blanchard, P., Hazewinkel, M., Streit, L. (eds) Stochastic Processes in Physics and Engineering. Mathematics and Its Applications, vol 42. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-2893-0_14
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DOI: https://doi.org/10.1007/978-94-009-2893-0_14
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-7803-0
Online ISBN: 978-94-009-2893-0
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