R. Liptser, P. Muzhikanov, "Filtering with a limiter", International Journal of Stochastic Analysis, vol. 11, Article ID 517856, 12 pages, 1998. https://doi.org/10.1155/S1048953398000240
Filtering with a limiter
We consider a filtering problem for a Gaussian diffusion process observed via discrete-time samples corrupted by a non-Gaussian white noise. Combining the Goggin's result  on weak convergence for conditional expectation with diffusion approximation when a sampling step goes to zero we construct an asymptotic optimal filter. Our filter uses centered observations passed through a limiter. Being asymptotically equivalent to a similar filter without centering, it yields a better filtering accuracy in a prelimit case.
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