论文信息 - Asymptotic Optimality of Approximate Filters in Stochastic Systems with Colored Noises

Asymptotic Optimality of Approximate Filters in Stochastic Systems with Colored Noises

Approximate filters are proposed for semilinear and nonlinear stochastic systems with colored noises. Basically these filters are defined as those which are optimal when the noises are white. Their long time behavior is investigated and their asymptotic optimality is shown in two cases under some reasonable assumptions.

Alain Le Breton | Marie-Christine Roubaud | M. Roubaud | A. Breton

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