Abstract
We study the filtering problem of a homogeneous Markov chain in a singular case, according to the time the scale of the observed process.
Under assumptions, we obtain a new asymptotic expansion of the unnormalized conditional distribution of the Zakai equation, by introducing the time scale and boundary layer terms. The terms of this expansion are calculated easier by decentralization and aggregation ([7]).
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References
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© 1990 Springer-Verlag
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Marchetti, C. (1990). A note about singular perturbations in the filtering of a Markov chain. In: Bensoussan, A., Lions, J.L. (eds) Analysis and Optimization of Systes. Lecture Notes in Control and Information Sciences, vol 144. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0120041
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DOI: https://doi.org/10.1007/BFb0120041
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