Abstract
We consider a nonlinear filtering problem, whose dynamics is “piecewise linear”. We construct a suboptimal filter consisting of a finite number of Kalman filters working in parallel, and exchanging their information at times δ, 2δ, 3δ …. We establish the convergence of that filter towards the optimal filter, as δ → 0.
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© 1988 Springer-Verlag New York Inc.
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Pardoux, E., Savona, C. (1988). Piecewise Linear Filtering. In: Fleming, W., Lions, PL. (eds) Stochastic Differential Systems, Stochastic Control Theory and Applications. The IMA Volumes in Mathematics and Its Applications, vol 10. Springer, New York, NY. https://doi.org/10.1007/978-1-4613-8762-6_26
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DOI: https://doi.org/10.1007/978-1-4613-8762-6_26
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4613-8764-0
Online ISBN: 978-1-4613-8762-6
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