Équations du filtrage non linéaire de la prédiction et du lissage
作者:
E. Pardoux,
期刊:
Stochastics
(Taylor Available online 1982)
卷期:
Volume 6,
issue 3-4
页码: 193-231
ISSN:0090-9491
年代: 1982
DOI:10.1080/17442508208833204
出版商: Gordon and Breach Science Publishers Inc
数据来源: Taylor
摘要:
We establish equations of non linear filtering, prediction (extrapolation) and smoothing (interpolation) in the case where the signal is a non degenerate diffusion process, and the observation is a noisy functional of the signal. We consider both the case of observation noise correlated with the signal, and the opposite case where we establish “robust” form of the equations. We study finally the case of unbounded coefficients, and the case where there is a feedback from the observation to the signal.
点击下载:
PDF (897KB)
返 回