4 papers
Asymptotic Expansion of the Kallianpur-Striebel Formula under Perturbations of Linear Models
Masahiro Kurisaki
In this paper, we study a nonlinear state-space model represented as a perturbation of a linear model and investigate an asymptotic expansion of the nonlinear filter with respect t…
Pathwise Representation of the Smoothing Distribution in Continuous-Time Linear Gaussian Models
Masahiro Kurisaki
We study the filtering and smoothing problem for continuous-time linear Gaussian systems. While classical approaches such as the Kalman-Bucy filter and the Rauch-Tung-Striebel (RTS…
Asymptotic Expansion for Nonlinear Filtering in the Small System Noise Regime
Masahiro Kurisaki
We propose a new asymptotic expansion method for nonlinear filtering, based on a small parameter in the system noise. The conditional expectation is expanded as a power series in t…
A New Proof for the Linear Filtering and Smoothing Equations, and Asymptotic Expansion of Nonlinear Filtering
Masahiro Kurisaki
In this paper, we propose a new asymptotic expansion approach for nonlinear filtering based on a small parameter in the system noise. This method expresses the filtering distributi…