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Showing math.PRShow all
2 papers · 1 filter
math.PR2005
Large deviations for two scaled diffusions
R. Liptser
We formulate large deviations principle (LDP) for diffusion pair , where first component has a small diffusion parameter while the second is ergodic Markov…
math.PR2005
On a role of predictor in the filtering stability
P. Chigansky, R. Liptser
When is a nonlinear filter stable with respect to its initial condition? In spite of the recent progress, this question still lacks a complete answer in general. Currently availabl…