DocumentCode
2406272
Title
Explicit fundamental solution to Kolmogorov equation
Author
Yau, S.S.-T. ; Yau, S.-T.
Author_Institution
Dept. of Math., Stat. & Comput. Sci., Illinois Univ., Chicago, IL, USA
fYear
1992
fDate
1992
Firstpage
1508
Abstract
The original motivation of this study was to solve the Duncan-Mortensen-Zakai equation in nonlinear filtering theory. It was found that to do so one has to solve the so-called Kolmogorov equation. A scheme for solving the Kolmogorov equation explicitly is outlined
Keywords
filtering and prediction theory; partial differential equations; Duncan-Mortensen-Zakai equation; Kolmogorov equation; explicit solution; fundamental solution; nonlinear filtering theory; Algebra; Computer science; Equations; Filtering; Filtering theory; Filters; Mathematics; Nonlinear equations; Robustness; State-space methods; Statistics; USA Councils;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location
Tucson, AZ
Print_ISBN
0-7803-0872-7
Type
conf
DOI
10.1109/CDC.1992.371163
Filename
371163
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