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November 1997 Nonlinear filtering problem with contamination
M. L. Kleptsina, R. Sh. Liptser, A. P. Serebrovski
Ann. Appl. Probab. 7(4): 917-934 (November 1997). DOI: 10.1214/aoap/1043862418

Abstract

We give an approximation for optimal filtering estimates of a diffusion type signal and its observation under contamination affecting their drifts. The method of analysis is based on the averaging principle and convergence in total variation for distributions of signal and observation.

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M. L. Kleptsina. R. Sh. Liptser. A. P. Serebrovski. "Nonlinear filtering problem with contamination." Ann. Appl. Probab. 7 (4) 917 - 934, November 1997. https://doi.org/10.1214/aoap/1043862418

Information

Published: November 1997
First available in Project Euclid: 29 January 2003

zbMATH: 0895.60045
MathSciNet: MR1484791
Digital Object Identifier: 10.1214/aoap/1043862418

Subjects:
Primary: 60G35

Keywords: averaging principle , convergence of total variation , Diffusions

Rights: Copyright © 1997 Institute of Mathematical Statistics

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Vol.7 • No. 4 • November 1997
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