Error bounds for the nonlinear filtering of signals with small diffusion coefficients
B.Z. Bobrovsky, Moshe Zakai, Ofer Zeitouni · IEEE Transactions on Information Theory · 1988
New upper and lower bounds for the nonlinear filtering problem are presented. The lower bounds are especially useful in the region of small diffusion coefficients where previously known bounds are inefficient. The upper and lower bounds are shown to be tight. An example demonstrating the tightness of the bounds is presented.>