A direct approach to deriving filtering equations for diffusion processes

N. V. Krylov, A. Zatezalo

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

Filtering equations are derived for conditional probability density functions in case of partially observable diffusion processes by using results and methods from the Lp -theory of SPDEs. The method of derivation is new and does not require any knowledge of filtering theory.

Original languageEnglish (US)
Pages (from-to)315-322
Number of pages8
JournalApplied Mathematics and Optimization
Volume42
Issue number3
DOIs
StatePublished - 2000

Keywords

  • Diffusion processes
  • Filtering
  • L-Theory of SPDEs

Fingerprint Dive into the research topics of 'A direct approach to deriving filtering equations for diffusion processes'. Together they form a unique fingerprint.

Cite this