On filtering equations in infinite dimensions

DOI10.1006/JFAN.1996.2970MaRDI QIDQ677475zbMATH OpenOpenAlexFDO

Authors Marco Fuhrman, N. U. Ahmed, Jerzy Zabczyk

Publication date 3 February 1998

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jfan.1996.2970

zbMATH Keywords

Zakai equationinfinite-dimensional nonlinear filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• On extending classical filtering equations
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• Filtering of Gaussian processes in Hilbert spaces
• Representation of systems disturbed by wide band noise
• Pathwise nonlinear filtering on abstract Wiener spaces
• Infinite dimensional affine term structure models under incomplete information
• An infinite expansion for nonlinear filtering
• Delay structure of wideband noises with application to filtering problems
• Infinite-length roots of median filters
• Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation
• Relatively optimal filtering on a Hilbert space for measure driven stochastic systems
• Ellipsoidal filtering of the state of an infinite-dimensional system. I. Solution of distributional differential equations in a Hilbert space

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