General piecewise linear filtering problems with small observation noise
Étienne Pardoux, M.C. Roubaud · 2003
An algorithm which is based on several Kalman filters running in parallel is presented. A test procedure for deciding which Kalman filter to follow, which produces a good estimate of the unobserved system process in a nonlinear filtering problem with piecewise linear dynamics and small observation noise is developed. The results generalize those of W.H. Fleming, D. Ji, and E. Pardoux (1988).>