Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
Jean Paul Picard · SIAM Journal on Applied Mathematics · 1986
In this paper, we are concerned with the asymptotic nonlinear filtering of one-dimensional diffusions as the observation noise tends to zero. The intensity of the signal noise may be normal, small or large. We derive evaluations of the conditional moments and obtain one- and two-dimensional approximate filters. We give upper bounds for the approximation errors and compare these filters with some classical suboptimal filters.