Title :
On pathwise uniqueness for the Zakai filter equation
Author :
Lucic, Vladimir M. ; Heunis, Andrew J.
Author_Institution :
Dept. of Electr. & Comput. Eng., Waterloo Univ., Ont., Canada
Abstract :
We study a nonlinear filtering problem in which the signal to be estimated is conditioned by the observations. The main result establishes pathwise uniqueness for the unnormalized (Zakai) filter equation
Keywords :
differential equations; filtering theory; nonlinear filters; Zakai filter equation; measure-valued stochastic differential equations; nonlinear filtering problem; pathwise uniqueness; unnormalized filter equation; Differential equations; Extraterrestrial measurements; Filtering; Markov processes; Maximum likelihood detection; Nonlinear equations; Nonlinear filters; Signal mapping; Signal processing; Stochastic processes;
Conference_Titel :
Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
Conference_Location :
Sydney, NSW
Print_ISBN :
0-7803-6638-7
DOI :
10.1109/CDC.2001.914571
