Nonlinear filtering with an infinite dimensional signal process

Reference : Nonlinear filtering with an infinite dimensional signal process


	Document type :	Scientific journals : Article
	Discipline(s) :	Physical, chemical, mathematical & earth Sciences : Mathematics
	To cite this reference:	http://hdl.handle.net/10993/5833

Title :	Nonlinear filtering with an infinite dimensional signal process
Language :	English
Author, co-author :	Schiltz, Jang [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
	Boulanger, Christophe []
Publication date :	1999
Journal title :	Portugaliae Matematicae
Volume :	56
Pages :	345-359
Peer reviewed :	Yes
Audience :	International
ISSN :	0032-5155
Country :	Portugal
Abstract :	[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.
Permalink :	http://hdl.handle.net/10993/5833

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