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Approximation approach for nonlinear filtering problem with time dependent noises. II: Stable nonlinear filters. (English) Zbl 0910.93078
[For Part I see the review above (Zbl 0910.93076).]
The authors design a stable nonlinear filter which is conditionally optimal in the minimum mean square sense. They use the technique of an inversion of a direct Lyapunov function method which suggests to find a filter in such a way that a Lyapunov function, calculated along the filter trajectory, will change according to some prescribed law. The stable minimum mean square filter can be regarded as an extension of the filter designed in Part I to deal with parameter uncertainties.

MSC:
93E11 Filtering in stochastic control theory
93C99 Model systems in control theory
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References:
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