Nonlinear Filtering with Homogenization.
Nonlinear Filtering with Homogenization.
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Date
1985
Authors
Bensoussan, Alain
Blankenehip, Gilmer L.
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Abstract
The Problem of nonlinear filtering is studied for a class of diffusions whose statistics depend periodically on the process state and a small parameter EPSILON. The problem exhibits a homogenization property as EPSILON DOWN-ARROW.