The Filtering Problem for Infinite Dimensional Stochastic Processes.

Abstract

The paper presents some recently obtained results on the nonlinear filtering problem for infinite dimensional processes. The optimal filter is obtained as the unique solution of certain measure valued equations. Robustness properties - both pathwise and statistical - are given and a preliminary result shows consistency with the stochastic calculus theory. Applications to random fields and models of voltage potential in neurophysiology are briefly discussed. Keywords: Markov processes; white noise.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1987
Accession Number
ADA186431

Entities

People

  • G. Kallianpur
  • R. L. Karandikar

Organizations

  • University of North Carolina at Chapel Hill

Tags

DTIC Thesaurus Topics

  • Additives (Chemicals)
  • Air Force
  • Banach Space
  • Equations
  • Filters
  • Filtration
  • Hilbert Space
  • Integral Equations
  • Markov Processes
  • Mathematical Filters
  • Noise
  • North Carolina
  • Probability
  • Statistics
  • Stochastic Processes
  • Theorems
  • White Noise

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Mathematical Modeling and Probability Theory.