Asymptotic analysis of a class of nonlinear filtering problems-Part II: A general formulation

Abstract

Generic examples from a class of nonlinear estimation problems involving parameterized Markov processes are formulated so that each is close to a linear, Kalman-Bucy filtering problem for a limited range of the parameter. Based on this approximation, an asymptotic analysis of each problem is outlined starting from the differential equation for the conditional density of the message given the observations.