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 ![]() | |
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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