DocumentCode
3480481
Title
Zakai equation of non-linear filtering with dependent noises and unbounded observation coefficients
Author
Florchinger, Patrick
Author_Institution
Dept. de Math., Metz Univ., France
fYear
1991
fDate
11-13 Dec 1991
Firstpage
2756
Abstract
The author gives an existence and uniqueness result to the solution of the Zakai equation associated with a nonlinear filtering problem with dependent noises and a scalar observation process whose coefficients are unbounded. It is proved that a specified unnormalized filter solves a Zakai equation, and results of P. Cannarsa and V. Vespri (1985) are used to state a uniqueness result to the solution of that equation in convenient Holder spaces
Keywords
filtering and prediction theory; noise; signal processing; Holder spaces; Zakai equation; dependent noises; nonlinear filtering; signal processing; unbounded observation coefficients; unnormalized filter; Differential equations; Filtering; Filters; Nonlinear equations; Random variables; Stochastic processes; Stochastic resonance; Vectors;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location
Brighton
Print_ISBN
0-7803-0450-0
Type
conf
DOI
10.1109/CDC.1991.261858
Filename
261858
Link To Document