A direct approach to deriving filtering equations for diffusion processes
The author gives a derivation of the so-called filtering equation for partially observable diffusion processes on the basis of the \(L_p\)-theory of SPDEs, without using any facts from filtering theory itself. The method of derivation is new and does not require any knowledge of filtering theory. After an introduction given in Section 1, Section 2 contains the statement of the problem and the main result (Theorem 2.10). In Section 3 the main idea of proving Theorem 2.10 is explained, and Section 4 contains necessary facts from the \(L_p\)-theory of SPDEs. The final Section 5 contains the proof of Theorem 2.10.
- On diffusion approximations for filtering
- scientific article; zbMATH DE number 4132071
- A finite-dimensional filtering of infinite-dimensional diffusion processes
- Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients
- On the Filtering Equations of a Multidimensional Diffusion Process (Increasing Coefficients)
- Filterlng of hidden diffusion processes
- Filtering for partially observed diffusion and its applications
- Non–linear filtering of diffusion processes with discontinuous observations
- Kalman-Bucy filter and SPDEs with growing lower-order coefficients in \(W_{p}^{1}\) spaces without weights
- On stochastic Langevin and Fokker-Planck equations: the two-dimensional case
- Control of dynamical systems with discrete and uncertain observations
- Filterlng of hidden diffusion processes
- Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients
- A filtering technique for system of reaction–diffusion equations
- Filtering partially observable diffusions up to the exit time from a domain
- Backward and forward filtering under the weak Hörmander condition
- Control strategies for players with discrete and uncertain observations
- Krylov-Veretennikov decomposition for measure-valued processes induced by stochastic differential equations with interaction on Riemannian manifolds
- On partially observed jump diffusions. I: the filtering equations
This page was built for publication: A direct approach to deriving filtering equations for diffusion processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1840447)
