Nonlinear ltering; Stochastic di erential; Stochastic calculus
Résumé :
[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 :
Mathématiques
Auteur, co-auteur :
Boulanger, Christophe
SCHILTZ, Jang ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)
Langue du document :
Anglais
Titre :
Nonlinear filtering with correlated noises in infinite dimension
Date de publication/diffusion :
1997
Nom de la manifestation :
European Contfrol Conference ECC 97
Lieu de la manifestation :
Brussels, Belgique
Date de la manifestation :
1-4 July 1997
Manifestation à portée :
International
Titre de l'ouvrage principal :
Proceedings of the European Control Conference 1997
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