A 1-dimensional nonlinear filtering problem

DOI10.1007/S10114-010-7526-8MaRDI QIDQ2269615zbMATH OpenOpenAlexFDO

Authors Guang-Yu Li, Ke Wang

Publication date 17 March 2010

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-010-7526-8

zbMATH Keywords

filteringRiccati equationstochastic differential equation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Review text

The authors propose a solution to the nonlinear filtering problem for systems described by the following system and observation equations \[ \begin{aligned} dX_t&=(F(t)X_t+\alpha(t))dt+(C(t)X_t+\beta(t))dU_t,\quad F(t)\in\mathbb R,C(t)\in\mathbb R, \\ dZ_t&=(G(t)X_t+\gamma(t))dt+(D(t)X_t+\xi(t))dV_u, \quad G(t)\in\mathbb R,D(t)\in\mathbb R, \end{aligned} \] \(F,G,C,D\) are bounded on bounded intervals, \(\alpha(t)\in\mathbb R\), \(\beta(t)\in\mathbb R\), \(\gamma(t)\in\mathbb R\), \(\xi(t)\in\mathbb R\), \(Z_0=0\), \(X_0\) is normally distributed (and independent of \(\{U_t\},\{V_t\}\)). The corresponding stochastic differential equation and Riccati equation are derived which determine solution \(\hat{X}_t=E[X_t|{\mathcal G}_t]\) of the filtering problem.

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Cites work

• Exponential stability of non-linear stochastic evolution equations
• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• Robust dissipative filter for linear uncertain time-delay systems
• Theory of functional differential equations. 2nd ed

Cited in

(13)

• Nonlinear filtering of systems governed by Ito differential equations with jump parameters
• A nonlinear filtering problem and its applications
• On one-dimensional Riccati diffusions
• Precise closed equations of optimal nonlinear filtering for a class of bilinear systems
• On the filtration problem of diffusion processes
• Finite Dimensional Deterministic Nonlinear Filters via Riccati Transformation and Volterra Series
• A NOVEL ASYMPTOTIC SOLUTION OF ONE NONLINEAR PROBLEM OF FILTERING
• scientific article; zbMATH DE number 3918226 (Why is no real title available?)
• Nonlinear filtering of a system of logistic equations
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