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Numerical approximation for nonlinear filtering and finite-time observers

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Applied Stochastic Analysis

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 177))

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References

  1. P. DUPUIS and H. ISIIII, On Lipschitz continuity of the solution mapping to the Skorokhod problem, with applications, Stochastics and Stochastics Reports 35 (1+2) 31–62 (1991).

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  2. M.R. JAMES, Asymptotic Nonlinear Filtering and Large Deviations with Application to observer Design, Ph.D. Dissertation, University of Maryland (SRC Technical Report Ph.D. 88-1) (1988).

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  3. M.R. JAMES, Finite time observer design by probabilistic-variational methods, to appear, SIAM Journal on Control and Optimization 29 (4) (1991).

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  4. M.R. JAMES, A numerical method for finite time observers, preprint (1990).

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  5. H.J. KUSHNER, Probability Methods for Approximations in Stochastic Control and for Elliptic Equations, Academic Press, New York, 1977.

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Author information

Authors and Affiliations

  1. Department of Mathematics, University of Kentucky, 40506, Lexington, KY, USA

    Matthew R. James

  2. INRIA-Sophia Antipolis, 2004, Route des Lucioles, F-06565, Valbonne Cedex, France

    François LeGland

Authors
  1. Matthew R. James
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  2. François LeGland
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Editor information

Ioannis Karatzas Daniel Ocone

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© 1992 Springer-Verlag

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James, M.R., LeGland, F. (1992). Numerical approximation for nonlinear filtering and finite-time observers. In: Karatzas, I., Ocone, D. (eds) Applied Stochastic Analysis. Lecture Notes in Control and Information Sciences, vol 177. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0007056

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  • DOI: https://doi.org/10.1007/BFb0007056

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-55296-3

  • Online ISBN: 978-3-540-47017-5

  • eBook Packages: Springer Book Archive

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