Title :
Zakai equation of nonlinear filtering in infinite dimension
Author :
Florchinger, Pairick
Author_Institution :
Dept. de Math., Metz Univ., France
Abstract :
It is proved that the unnormalized filter associated with a nonlinear filtering problem with independent noises and bounded coefficients such that the signal process is infinite-dimensional solves a stochastic partial differential equation, the Zakai equation
Keywords :
filtering and prediction theory; partial differential equations; signal processing; Zakai equation; bounded coefficients; infinite dimension; noises; nonlinear filtering; signal processing; stochastic partial differential equation; Differential equations; Filtering; Filters; Nonlinear equations; Partial differential equations; Random variables; Signal processing; Stochastic processes; Stochastic resonance; Stochastic systems;
Conference_Titel :
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location :
Brighton
Print_ISBN :
0-7803-0450-0
DOI :
10.1109/CDC.1991.261857
