Reference : Nonlinear filtering with correlated noises in the case of a high signal-to-noise ratio
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/10993/5646
Nonlinear filtering with correlated noises in the case of a high signal-to-noise ratio
English
Schiltz, Jang mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
2006
International Journal of Pure & Applied Mathematics
27
3
305-319
Yes
International
1311-8080
Bulgaria
[en] Nonlinear filtering ; Suboptimal filters ; Stochastic Differential equations ; Malliavin Calculus
[en] This paper deals with the problem of estimating a state process, the measurements
of which are corrupted by an independent but correlated white noise of order
". We derive a finite dimensional filter, obtained as the solution of a stochastic
differential equation which is asymptotically optimal as epsilon tends to 0.
http://hdl.handle.net/10993/5646

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