Filtering of absorbing and reflecting Brownian motions

DOI10.1016/0167-6911(86)90074-5MaRDI QIDQ1821079zbMATH OpenOpenAlexFDO

Authors Tadeusz Banek

Publication date 1986

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(86)90074-5

zbMATH Keywords

Brownian motionnonlinear filteringVolterra equations

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Volterra integral equations (45D05) Brownian motion (60J65) Filtering in stochastic control theory (93E11)

Review text

The solutions of two nonlinear filtering problems are made explicit following a Beneš' technique. In these two problems, the observation of the signal is corrupted by an independent white noise and the signal process is a one-dimensional Brownian motion which is either stopped (first problem) or reflected (second problem) when it hits 0. Nonlinear filtering is reduced in these two cases to second-order boundary value problems and formulas involving Volterra equations are given for solving them; in the second problem, two different methods are described.

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Cites work

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Cited in

(6)

• On the filtration of historical Brownian motion
• Filtering of a reflected Brownian motion with respect to its local time
• A representation theorem on a filtering model with first-passage-type stopping time
• scientific article; zbMATH DE number 4180430 (Why is no real title available?)
• Recognising Whether a Filtration is Brownian: a Case Study
• Mortensen observer for a class of variational inequalities – lost equivalence with stochastic filtering approaches

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