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CONVERGENCE IN NONLINEAR FILTERING FOR STOCHASTIC DELAY SYSTEMS.
- Source :
-
SIAM Journal on Control & Optimization . 2007, Vol. 46 Issue 5, p1615-1636. 22p. - Publication Year :
- 2007
-
Abstract
- We study an approximation scheme for a nonlinear filtering problem when the state process X is the solution of a stochastic delay diffusion equation and the observation process is a noisy function of X(s) for s ϵ [t - τ, t], where τ is a constant. The approximating state is the piecewise linear Euler-Maruyama scheme, and the observation process is a noisy function of the approximating state. The rate of convergence of this scheme is computed. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03630129
- Volume :
- 46
- Issue :
- 5
- Database :
- Academic Search Index
- Journal :
- SIAM Journal on Control & Optimization
- Publication Type :
- Academic Journal
- Accession number :
- 27745677
- Full Text :
- https://doi.org/10.1137/050646135