Nonlinear filtering with perfect discrete time observations

Author

Joannides, Marc ; LeGland, Francois

Author_Institution

Dept. of Math., Imperial Coll., London, UK

Volume

4

fYear

1995

fDate

13-15 Dec 1995

Firstpage

4012

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

Keywords

Laplace equations; differential geometry; diffusion; discrete time systems; filtering theory; nonlinear filters; observability; probability; state estimation; Laplace integrals; diffusion process; discrete time observations; geometric measure theory; nonlinear filtering; observation function; probability distribution; singular noise; small-noise perturbation; state estimation; Colored noise; Density measurement; Educational institutions; Equations; Filtering; Level set; Mathematics; Noise generators; Probability distribution; State estimation;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1995., Proceedings of the 34th IEEE Conference on

Conference_Location

New Orleans, LA

ISSN

0191-2216

Print_ISBN

0-7803-2685-7

Type

conf

DOI

10.1109/CDC.1995.479233

Filename

479233