A simple asymptotically optimal filter over an infinite horizon

P. Chigansky*, R. Liptser, B. Z. Bobrovsky

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


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.

Original languageAmerican English
Pages (from-to)93-112
Number of pages20
JournalJournal of Applied Mathematics and Stochastic Analysis
Issue number1
StatePublished - 2001
Externally publishedYes


  • Asymptotic Optimality
  • Infinite Horizon
  • Kalman Filter
  • Limiter
  • Lower Error Bound
  • Non-Gaussian Noise


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