Title :
Nonlinear filtering in infinite dimensional spaces
Author :
Florchinger, Patrick
Author_Institution :
Dept. de Math., CNRS, Moulins-les-Metz, France
Abstract :
The purpose of this paper is to prove that the unnormalized filter associated with a nonlinear filtering problem in infinite dimensions solves a parabolic stochastic partial differential equation-the Zakai equation
Keywords :
Hilbert spaces; differential equations; filtering theory; nonlinear filters; parabolic equations; probability; stochastic processes; Zakai equation; infinite dimensional spaces; nonlinear filtering; parabolic stochastic partial differential equation; unnormalized filter; Differential equations; Filtering; Filtration; Hilbert space; Indium tin oxide; Nonlinear equations; Nonlinear filters; Partial differential equations; Signal processing; Stochastic processes;
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4187-2
DOI :
10.1109/CDC.1997.649669
