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
Type de document :
Communication dans un congrès
Proceedings of the 34th Conference on Decision and Control, New Orleans 1995, Dec 1995, New Orleans, United States. pp.4012-4017, 1995, 4. 〈10.1109/CDC.1995.479233〉
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https://hal.inria.fr/hal-00912062
Contributeur : Francois Le Gland <>
Soumis le : lundi 2 décembre 2013 - 00:46:53
Dernière modification le : mercredi 16 mai 2018 - 11:23:13

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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, Dec 1995, New Orleans, United States. pp.4012-4017, 1995, 4. 〈10.1109/CDC.1995.479233〉. 〈hal-00912062〉

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