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Conference papers

Nonlinear filtering with perfect discrete time observations

Marc Joannides 1 François Le Gland 2
2 AS - Signal Processing and Control
IRISA - Institut de Recherche en Informatique et Systèmes Aléatoires, INRIA Rennes
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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https://hal.inria.fr/hal-00912062
Contributor : Francois Le Gland <>
Submitted on : Monday, December 2, 2013 - 12:46:53 AM
Last modification on : Tuesday, June 15, 2021 - 4:20:49 PM

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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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