Article ID: | iaor20022077 |
Country: | United States |
Volume: | 14 |
Issue: | 1 |
Start Page Number: | 93 |
End Page Number: | 112 |
Publication Date: | Jan 2001 |
Journal: | Journal of Applied Mathematics and Stochastic Analysis |
Authors: | Liptser R., Chigansky P., Bobrovsky B.Z. |
Keywords: | probability |
A filtering problem over an infinite horizon for a continuous time signal and discrete time observation in the presence of non-Gaussian white noise is considered. Conditions are presented, under which a nonlinear Kalman type filter with limiter is asymptotically optimal in the mean square sense for long time intervals given provided the sampling frequency is sufficiently high.