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.

引用

页码：230 / &

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