Reference : Nonlinear filtering with an infinite dimensional signal process
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/10993/5833
Nonlinear filtering with an infinite dimensional signal process
English
Schiltz, Jang mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
Boulanger, Christophe []
1999
Portugaliae Matematicae
56
345-359
Yes
International
0032-5155
Portugal
[en] In this paper, we investigate a nonlinear ¯ltering problem with correlated
noises, bounded coe±cients and a signal process evolving in an in¯nite dimensional space.
We derive the Kushner{Stratonovich and the Zakai equation for the associated ¯lter
respectively unnormalized ¯lter. A robust form of the Zakai equation is established for
an uncorrelated ¯ltering problem.
http://hdl.handle.net/10993/5833

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