Nonlinear filtering with correlated noises in the case of a high signal-to-noise ratio

Reference : Nonlinear filtering with correlated noises in the case of a high signal-to-noise ratio


	Document type :	Scientific journals : Article
	Discipline(s) :	Physical, chemical, mathematical & earth Sciences : Mathematics
	To cite this reference:	http://hdl.handle.net/10993/5646

Title :	Nonlinear filtering with correlated noises in the case of a high signal-to-noise ratio
Language :	English
Author, co-author :	Schiltz, Jang [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
Publication date :	2006
Journal title :	International Journal of Pure & Applied Mathematics
Volume :	27
Issue/season :	3
Pages :	305-319
Peer reviewed :	Yes
Audience :	International
ISSN :	1311-8080
Country :	Bulgaria
Keywords :	[en] Nonlinear filtering ; Suboptimal filters ; Stochastic Differential equations ; Malliavin Calculus
Abstract :	[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.
Permalink :	http://hdl.handle.net/10993/5646

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