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
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;
Conference_Titel :
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-0872-7
DOI :
10.1109/CDC.1992.371163
