Title :
Nonlinear filtering with correlated noises in infinite dimension
Author :
Boulanger, C. ; Schiltz, J.
Author_Institution :
Dept. de Math., Univ. de Metz, Metz, France
Abstract :
In this paper, we derive the Kushner-Stratonovich and the Zakai equation for the filter and the unnormalized filter associated with a nonlinear filtering problem with correlated noises, bounded coefficients and a signal process evolving in an infinite dimensional space. A robust form of the Zakai equation is established when the noises arc independent.
Keywords :
nonlinear filters; Kushner-Stratonovich equation; Zakai equation; bounded coefficient; correlated noise; infinite dimensional space; nonlinear filtering problem; signal process; Facsimile; Indium tin oxide; Mathematical model; Noise; Robustness; Stochastic processes; Yttrium; Nonlinear filtering; Stochastic calculus; Stochastic differential equation;
Conference_Titel :
Control Conference (ECC), 1997 European
Conference_Location :
Brussels
Print_ISBN :
978-3-9524269-0-6
