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dc.contributor.authorJames, Matthew R.en_US
dc.contributor.authorBaras, John S.en_US
dc.date.accessioned2007-05-23T09:36:41Z
dc.date.available2007-05-23T09:36:41Z
dc.date.issued1987en_US
dc.identifier.urihttp://hdl.handle.net/1903/4536
dc.description.abstractWe consider the asymptotic nonlinear filtering problem dx = f(x)dt + SQRT EPSILONdw = h(x)dt + SQRT EPSILONdv, and obtain lim_EPSILON-->0 EPSILONlog q^EPSILON(x, t) = -W(x, t) for unnormalized conditional densities q^EPSILON(x, t) using PDE methods. Here, W(x, t) is the value function for a deterministic optimal control problem arising in Mortensen's deterministic estimation, and is the unique viscocity solution of a Hamiltonian-Jacobi-Bellman equation. Hijab has also studied this filtering problem, and we extend his large deviation result for certain unnormalized conditional measures. The resulting variational problem corresponds to the above control problem.en_US
dc.format.extent564449 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen_USen_US
dc.relation.ispartofseriesISR; TR 1987-27en_US
dc.titleNonlinear Filtering and Large Deviations: A PDE-Control Theoretic Approach.en_US
dc.typeTechnical Reporten_US
dc.contributor.departmentISRen_US


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