Nonlinear filtering with correlated noises in infinite dimension

Reference : Nonlinear filtering with correlated noises in infinite dimension


	Document type :	Scientific congresses, symposiums and conference proceedings : Paper published in a book
	Discipline(s) :	Physical, chemical, mathematical & earth Sciences : Mathematics
	To cite this reference:	http://hdl.handle.net/10993/5908

Title :	Nonlinear filtering with correlated noises in infinite dimension
Language :	English
Author, co-author :	Boulanger, Christophe []
	Schiltz, Jang [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
Publication date :	1997
Main document title :	Proceedings of the European Control Conference 1997
Pages :	6
Peer reviewed :	Yes
Audience :	International
Event name :	European Contfrol Conference ECC 97
Event date :	1-4 July 1997
Event place (city) :	Brussels
Event country :	Belgium
Keywords :	[en] Nonlinear ltering ; Stochastic di erential ; Stochastic calculus
Abstract :	[en] In this paper, we derive the Kushner-Stratonovich and the Zakai equation for the lter and the unnormalized lter associated with a nonlinear ltering problem with correlated noises, bounded coe cients and a signal process evolving in an in nite dimensional space. A robust form of the Zakai equation is established when the noises are independent.
Permalink :	http://hdl.handle.net/10993/5908

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