Singular Perturbation Method for the Solution of Kushner's Equation.

Loading...
Thumbnail Image

Files

TR_87-138.pdf (498.36 KB)
No. of downloads: 583

Publication or External Link

Date

1987

Advisor

Citation

DRUM DOI

Abstract

In this paper we solve asymptotically Kushner's equation for the conditional probability density function of a one dimensional diffusion process measured in a low noise channel. We obtain the Stratonovich version and solve asymptotically this equation. The asymptotic aolution agrees with the asymptotic solution of Zakai's equation. In the second part of this paper we solve asymptotically Kushner's equation for a model of feedback channel and construct a sub-optimal filter for this model.

Notes

Rights