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Conference Papers Year : 1995

Nonlinear filtering with perfect discrete time observations

Abstract

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 geometric 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 asymptotics of Laplace integrals
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Dates and versions

hal-00912062 , version 1 (02-12-2013)

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Marc Joannides, François Le Gland. Nonlinear filtering with perfect discrete time observations. Proceedings of the 34th Conference on Decision and Control, New Orleans 1995, IEEE--CSS, Dec 1995, New Orleans, United States. pp.4012-4017, ⟨10.1109/CDC.1995.479233⟩. ⟨hal-00912062⟩
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