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Erschienen in:
1988 | OriginalPaper | Buchkapitel
Nonlinear Filtering and Smoothing with High Signal-to-Noise Ratio
verfasst von : J. Picard
Erschienen in: Stochastic Processes in Physics and Engineering
Verlag: Springer Netherlands
Enthalten in: Professional Book Archive
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This work deals with the problem of estimating a state process, the measurements of which are corrupted by an independent white noise of order ε. We derive a finite-dimensional filter which is asymptotically optimal as ε → 0 and we estimate the rate of convergence with a new method. We also obtain an approximate solution of the smoothing problem.