Nonlinear filtering with degenerate noise

被引：0

作者：

Fotsa-Mbogne, David Jaures ^{[1
]}

Pardoux, Etienne ^{[2
]}

机构：

[1] Univ Ngaoundere, ENSAI, Dept Math & Comp Sci, Ngaoundere, Cameroon

[2] Aix Marseille Univ, CNRS, Cent Marseille, I2M, Marseille, France

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2017年 / 22卷

关键词：

nonlinear filtering; singular observation noise;

D O I：

10.1214/17-ECP74

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper studies a new type of filtering problem, where the diffusion coefficient of the observation noise is strictly positive only in the interior of the bounded interval where observation takes its values. We derive a Zakai and a Kushner-Stratonovich equation, and prove uniqueness of the measure-valued solution of the Zakai equation.

引用

页码：1 / 14

页数：14

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