DocumentCode :
3028631
Title :
Pathwise solutions and multiplicative functionals in nonlinear filtering
Author :
Davis, M.H.A.
Author_Institution :
Imperial College, London
Volume :
2
fYear :
1979
fDate :
12-14 Dec. 1979
Firstpage :
176
Lastpage :
181
Abstract :
This paper concerns the "standard" nonlinear filtering problem of calculating ??t (f) = E[f (xt) | ys\´, 0 ?? s ?? t] where xt is a Markov process, yt = h (xt) + white noise, and f is a real-valued function. The objective is to obtain a recursively calculable "robust" version of ??t (f), i.e. a version parametrized in a simple way by the observation sample path. We outline two approaches to this problem, one based on a "pathwise solution" of the Zakai (un-normalized) filtering equation and the other starting from the idea that the Kallianpur-Striebel formula represents a y-dependent multiplicative functional transformation of the signal process semigroup Tt. These two approaches are shown to be equivalent.
Keywords :
Equations; Filtering; Radio control;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Decision and Control including the Symposium on Adaptive Processes, 1979 18th IEEE Conference on
Conference_Location :
Fort Lauderdale, FL, USA
Type :
conf
DOI :
10.1109/CDC.1979.270157
Filename :
4046385
Link To Document :
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