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Applied Mathematics and Optimization, Vol.48, No.2, 93-128, 2003
Convergence of nonlinear filters for randomly perturbed dynamical systems
We establish convergence of the nonlinear filter of the state of a randomly perturbed dynamical system in which the perturbation is a rapidly fluctuating ergodic Markov process, and the observation process conditions the state of the system. The limiting nonlinear filter is completely characterized.