[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.
Disciplines :
Mathematics
Author, co-author :
Schiltz, Jang ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)
Boulanger, Christophe
Language :
English
Title :
Nonlinear filtering with an infinite dimensional signal process
