Title :
Optimal control and pathwise nonlinear filtering of nondegenerate diffusions
Author :
Fleming, W.H. ; Mitter, S.K.
Author_Institution :
Brown University, Providence, Rhode Island
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;
Conference_Titel :
Decision and Control including the Symposium on Adaptive Processes, 1981 20th IEEE Conference on
Conference_Location :
San Diego, CA, USA
DOI :
10.1109/CDC.1981.269447