Journal of Applied Mathematics and Stochastic Analysis
Volume 14 (2001), Issue 1, Pages 93-112
doi:10.1155/S1048953301000089
Abstract
A filtering problem over an infinite horizon for a continuous time signal
and discrete time observation in the presence of non-Gaussian white noise
is considered. Conditions are presented, under which a nonlinear Kalman
type filter with limiter is asymptotically optimal in the mean square sense
for long time intervals given provided the sampling frequency is sufficiently high.