Nonlinear filtering problem with contamination

Authors
Kleptsina, M. L. Liptser, R. Sh. Serebrovski, A. P.
Citation
L. Kleptsina, M. et al., Nonlinear filtering problem with contamination, Annals of applied probability , 7(4), 1997, pp. 917-934
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
7
Issue
4
Year of publication
1997
Pages
917 - 934
Database
ACNP
SICI code
Abstract
We give an approximation for optimal filtering estimates of a diffusion type signal and its observation under contamination affecting their drifts. The method of analysis is based on the averaging principle and convergence in total variation for distributions of signal and observation.