[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.
Disciplines :
Mathematics
Author, co-author :
Schiltz, Jang ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)
Language :
English
Title :
Nonlinear filtering with correlated noises in the case of a high signal-to-noise ratio
Publication date :
2006
Journal title :
International Journal of Pure and Applied Mathematics
