A Robust Discrete State Approximation to the Optimal Nonlinear Filter for a Diffusion.

A robust computable approximation to the nonlinear filtering problem for a diffusion model is treated, where the system and data models are given by . The approximation (with approximation parameter h) is robust in the sense that it is locally Lipschitz continuous in the data y( °) (sup norm) uniformly in h and, as h→0, it converges to the optimal filter for the diffusion.