ON OPTIMAL FILTERING OF DIFFUSION PROCESSES

被引:401
作者
ZAKAI, M
机构
[1] Department of Electrical Engineering, Technion - Israel Institute of Technology, Haifa
来源
ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE | 1969年 / 11卷 / 03期
关键词
D O I
10.1007/BF00536382
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Let x(t) be a diffusion process satisfying a stochastic differential equation and let the observed process y(t) be related to x(t) by dy(t) = g(x(t)) + dw(t) where w(t) is a Brownian motion. The problem considered is that of finding the conditional probability of x(t) conditioned on the observed path y(s), 0≦s≦t. Results on the Radon-Nikodym derivative of measures induced by diffusions processes are applied to derive equations which determine the required conditional probabilities. © 1969 Springer-Verlag.
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页码:230 / &
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