Filtering of Gaussian processes in Hilbert spaces
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Publication:5114817
DOI10.1142/S0219493720500203zbMATH Open1443.60039arXiv1903.11464OpenAlexW3106009122MaRDI QIDQ5114817FDOQ5114817
Publication date: 26 June 2020
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Abstract: Linear filtering problem for infinite-dimensional Gaussian processes is studied, the observation process being finite-dimensional. Integral equations for the filter and for covariance of the error are derived. General results are applied to linear SPDEs driven by Gauss-Volterra process observed at finitely many points of the domain.
Full work available at URL: https://arxiv.org/abs/1903.11464
Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35)
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- Parameter-dependent filtering of Gaussian processes in Hilbert spaces
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