Quenched Large Deviations for One Dimensional Nonlinear Filtering
نویسندگان
چکیده
منابع مشابه
Quenched Large Deviations for One Dimensional Nonlinear Filtering
Consider the standard, one dimensional, nonlinear filtering problem for diffusion processes observed in small additive white noise: dXt = b(Xt)dt + dBt , dY ε t = γ(Xt)dt + εdVt , where B·, V· are standard independent Brownian motions. Denote by qε 1(·) the density of the law of Ξ1 conditioned on σ(Y ε t : 0 ≤ t ≤ 1). We provide “quenched” large deviation estimates for the random family of meas...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2004
ISSN: 0363-0129,1095-7138
DOI: 10.1137/s0363012903365032