DocumentCode
3009027
Title
Existence of a density for the filter associated to Hilbert-space valued systems
Author
Dietsch, Marie-noelle
Author_Institution
Dept. de Math., Metz Univ., France
Volume
5
fYear
2000
fDate
2000
Firstpage
4282
Abstract
The purpose of this paper is to prove that the unnormalized filter associated to a Hilbert space valued nonlinear filtering problem with correlated noises, which solves a parabolic stochastic partial differential equation, the Zakai equation, admits a density with respect to a given measure on the Hilbert space. We also compute the stochastic differential equation solved by this density
Keywords
Hilbert spaces; correlation methods; filtering theory; noise; nonlinear filters; parabolic equations; partial differential equations; Hilbert-space valued systems; correlated noises; nonlinear filtering problem; parabolic stochastic partial differential equation; unnormalized filter; Density measurement; Differential equations; Extraterrestrial measurements; Filtering; Filters; Hilbert space; Noise measurement; Nonlinear equations; Partial differential equations; Stochastic resonance;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
Conference_Location
Sydney, NSW
ISSN
0191-2216
Print_ISBN
0-7803-6638-7
Type
conf
DOI
10.1109/CDC.2001.914574
Filename
914574
Link To Document