Nonlinear filtering with correlated noises in infinite dimension

Boulanger, Christophe; Schiltz, Jang

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Nonlinear filtering with correlated noises in infinite dimension

Boulanger, Christophe; Schiltz, Jang

1997 • In Proceedings of the European Control Conference 1997

Peer reviewed

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https://hdl.handle.net/10993/5908

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Keywords :

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.

Disciplines :

Mathematics

Author, co-author :

Boulanger, Christophe

Schiltz, Jang ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)

Language :

English

Title :

Nonlinear filtering with correlated noises in infinite dimension

Publication date :

1997

Event name :

European Contfrol Conference ECC 97

Event place :

Brussels, Belgium

Event date :

1-4 July 1997

Audience :

International

Main work title :

Proceedings of the European Control Conference 1997

Pages :

Peer reviewed :

Peer reviewed

Available on ORBilu :

since 12 September 2013

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Bibliography

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