Asymptotic Expansion in Nonlinear Filtering with Homogenization

被引：0

作者：

C. Marchetti

机构：

[1] Residence Montebello — Bat. A,

[2] 20200 Bastia,undefined

[3] France ,undefined

来源：

Applied Mathematics and Optimization | 2000年 / 41卷

关键词：

Key words. Nonlinear filtering, Homogenization, Feynman—Kac and Poisson equations. AMS Classification. 60H10, 60H30, 35K10.;

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暂无

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学科分类号：

摘要：

The problem of nonlinear filtering is studied for a class of diffusions whose statistics depend periodically on the state and a small parameter ε . Our purpose here is to show that, under some assumptions, the conditional density of the filtering problem admits an asymptotic expansion (see [2]).

引用

页码：403 / 424

页数：21