Title :
Filtering equations in infinite dimensional spaces with mixed type observation
Author :
Florchinger, Patrick
Abstract :
The purpose of this paper is to compute the filtering equations when the state process, given as the solution of a stochastic differential equation on a Hilbert space, is observed through a finite dimensional process having continuous and discontinuous components.
Keywords :
Hilbert spaces; differential equations; filtering theory; multidimensional systems; stochastic processes; Hilbert space; continuous components; discontinuous components; filtering equations; finite dimensional process; infinite dimensional spaces; mixed type observation; stochastic differential equation; Differential equations; Filtering; Filtration; Gaussian noise; Hilbert space; Integral equations; Nonlinear equations; Stochastic processes; Stochastic resonance; Stochastic systems;
Conference_Titel :
Decision and Control, 2003. Proceedings. 42nd IEEE Conference on
Print_ISBN :
0-7803-7924-1
DOI :
10.1109/CDC.2003.1272680
