Title :
Existence and Uniqueness of Solutions for Duncan-Mortensen-Zakai Equations
Author :
Shing-Tung Yau ; Yau, Shing-Tung
Author_Institution :
Department of Mathematics, Harvard University, Cambridge, MA 02138. yau@math.harvard.edu
Abstract :
In this paper, we give a priori estimation of derivatives of solution of Duncan-Mortensen-Zakai (DMZ) equation up to 2nd order. We also prove the existence and uniqueness of weak solution for DMZ equation, which is a fundamental equation in nonlinear filtering.
Keywords :
Calculus; Computer science; Differential equations; Filtering theory; Mathematics; Nonlinear equations; Robustness; Signal processing; Statistics; Stochastic processes;
Conference_Titel :
Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05. 44th IEEE Conference on
Print_ISBN :
0-7803-9567-0
DOI :
10.1109/CDC.2005.1582211
