Asymptotic Expansion in Nonlinear Filtering with Homogenization
Journal Article
·
· Applied Mathematics and Optimization
- Residence Montebello - Bat. A, 20200 Bastia (France)
The problem of nonlinear filtering is studied for a class of diffusions whose statistics depend periodically on the state and a small parameter {epsilon} . Our purpose here is to show that, under some assumptions, the conditional density of the filtering problem admits an asymptotic expansion (see [2])
- OSTI ID:
- 21064270
- Journal Information:
- Applied Mathematics and Optimization, Vol. 41, Issue 3; Other Information: DOI: 10.1007/s002459911021; Copyright (c) 2000 Springer-Verlag New York Inc.; Article Copyright (c) Inc. 2000 Springer-Verlag New York; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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