DocumentCode :
3038083
Title :
Optimal control and pathwise nonlinear filtering of nondegenerate diffusions
Author :
Fleming, W.H. ; Mitter, S.K.
Author_Institution :
Brown University, Providence, Rhode Island
fYear :
1981
fDate :
16-18 Dec. 1981
Firstpage :
74
Lastpage :
75
Abstract :
A linear parabolic partial differential equation describing the pathwise filter for a nondegenerate diffusion is changed, by an exponential substitution, into the dynamic programming equation of an optimal stochastic control problem. This substitution is applied to obtain results about the rate of decay as |x| ?? ?? of solutions p(x, t) to the pathwise filter equation, and for solutions of the corresponding Zakai equation.
Keywords :
Dynamic programming; Filtering; Filters; Mathematics; Nonlinear equations; Optimal control; Partial differential equations; Polynomials; Signal processing; Stochastic processes;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Decision and Control including the Symposium on Adaptive Processes, 1981 20th IEEE Conference on
Conference_Location :
San Diego, CA, USA
Type :
conf
DOI :
10.1109/CDC.1981.269447
Filename :
4046888
Link To Document :
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