Extensions of Results of Pardoux on Stochastic Partial Differential Equations of Filtering.

Abstract

Pardoux's results on the Zakai equation for nonlinear filtering are extended to cover the case of estimating a signal modified by a potential term. This is applied to state a rigorous Zakai equation for certain filtering problems invovling signals with entrance boundaries.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1981
Accession Number
ADA099356

Entities

People

  • Daniel Ocone

Organizations

  • University of Wisconsin–Madison

Tags

DTIC Thesaurus Topics

  • Boundaries
  • Brownian Motion
  • Classification
  • Differential Equations
  • Diffusion
  • Equations
  • Filters
  • Markov Processes
  • Mathematics
  • New York
  • North Carolina
  • Observation
  • Partial Differential Equations
  • Probability
  • Statistics
  • United States
  • Wisconsin

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Calculus or Mathematical Analysis