Convergence of Nonlinear Filters for Randomly Perturbed Dynamical Systems∗
نویسندگان
چکیده
We establish convergence of the nonlinear filter of the state of a randomly perturbed dynamical system in which the perturbation is a rapidly fluctuating ergodic Markov process, and the observation process conditions the state of the system. The limiting nonlinear filter is completely characterized.
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