Filterlng of hidden diffusion processes

DOI10.1080/17442500108834267MaRDI QIDQ2747864zbMATH OpenOpenAlexFDO

Authors Hyung Geun Kim

Publication date 5 May 2002

Published in Stochastics and Stochastics Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500108834267

zbMATH Keywords

filtering equationscalar diffusion equation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Filtering in stochastic control theory (93E11)

Review text

The author considers the scalar diffusion equation \[ dx_t= f(t, x_t) dt+ g(t, x_t) dW_t,\quad x_0= 0,\quad 0\leq t\leq 1, \] where \(W_t\) is the Wiener process. The observation process is \(Y_t= x_t I_{x_t< 0}\) (that is, the observation process is invisible when it has nonnegative values, otherwise it is identical to the signal process). Under certain assumptions the filtering equation \(E[f(x_1)\mid x_s I_{x_s< 0}, 0\leq s\leq 1]\) is derived where \(f\) is any bounded measurable function. An example of the technique is applied to the process \(dx_t= dW_t\).

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Cites work

• Excursions in Brownian motion
• Filtering of finite-state time-nonhomogeneous Markov processes, a direct approach
• scientific article; zbMATH DE number 3429552 (Why is no real title available?)
• scientific article; zbMATH DE number 226968 (Why is no real title available?)
• Reverse-time diffusion processes (Corresp.)
• Stochastic processes and filtering theory

Cited in

(8)

• A direct approach to deriving filtering equations for diffusion processes
• Interpolation for partly hidden diffusion processes
• scientific article; zbMATH DE number 3849110 (Why is no real title available?)
• Non–linear filtering of diffusion processes with discontinuous observations
• Filtering of diffusions controlled through their conditional measures^†
• Asymptotic Analysis of the Optimal Filtering Problem for One-Dimensional Diffusions Measured in a Low Noise Channel, Part I
• scientific article; zbMATH DE number 4069938 (Why is no real title available?)
• Optimal estimation of diffusion processes hidden by general obstacles

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