Title :
Nonlinear filtering with perfect discrete time observations
Author :
Joannides, Marc ; LeGland, Francois
Author_Institution :
Dept. of Math., Imperial Coll., London, UK
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;
Conference_Titel :
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
0-7803-2685-7
DOI :
10.1109/CDC.1995.479233
