A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
Harold J. Kushner · Stochastics · 1980
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.