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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• Infinite-length roots of median filters
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• Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation
• Infinite-dimensional filtering: The Kalman\3-Bucy filter in Hilbert space
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• Nonlinear filtering of semi-Dirichlet processes
• A continuity property for the filter associated to Hilbert-space valued systems
• The filtering problem in duals of nuclear Frechet spaces

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