Nonlinear Filtering with Optimal MTLL

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dc.creatorFischler, E.
dc.creatorSchuss, Z.
dc.date2007-03-18
dc.date.accessioned2026-07-07T07:52:36Z
dc.date.available2026-07-07T07:52:36Z
dc.descriptionWe consider the problem of nonlinear filtering of one-dimensional diffusions from noisy measurements. The filter is said to lose lock if the estimation error exits a prescribed region. In the case of phase estimation this region is one period of the phase measurement function, e.g., $[-π,π]$. We show that in the limit of small noise the causal filter that maximizes the mean time to loose lock is Bellman's minimum noise energy filter.
dc.identifierhttps://arxiv.org/abs/math/0703524
dc.identifierhttp://arxiv.org/abs/math/0703524
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/125935
dc.subjectOptimization and Control
dc.subjectProbability
dc.subject60G35
dc.titleNonlinear Filtering with Optimal MTLL
dc.typetext

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