A direct approach to deriving filtering equations for diffusion processes

N. V. Krylov; A. Zatezalo

doi:10.1007/s002450010015

A direct approach to deriving filtering equations for diffusion processes

N. V. Krylov
, A. Zatezalo

School of Mathematics

Research output: Contribution to journal › Article › peer-review

13 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 L_p -theory of SPDEs. The method of derivation is new and does not require any knowledge of filtering theory.

Original language	English (US)
Pages (from-to)	315-322
Number of pages	8
Journal	Applied Mathematics and Optimization
Volume	42
Issue number	3
DOIs	https://doi.org/10.1007/s002450010015
State	Published - 2000

Keywords

Diffusion processes
Filtering
L-Theory of SPDEs

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10.1007/s002450010015

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title = "A direct approach to deriving filtering equations for diffusion processes",

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.",

keywords = "Diffusion processes, Filtering, L-Theory of SPDEs",

author = "Krylov, \{N. V.\} and A. Zatezalo",

year = "2000",

doi = "10.1007/s002450010015",

language = "English (US)",

volume = "42",

pages = "315--322",

journal = "Applied Mathematics and Optimization",

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T1 - A direct approach to deriving filtering equations for diffusion processes

AU - Krylov, N. V.

AU - Zatezalo, A.

PY - 2000

Y1 - 2000

N2 - 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.

AB - 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.

KW - Diffusion processes

KW - Filtering

KW - L-Theory of SPDEs

UR - https://www.scopus.com/pages/publications/0034317306

UR - https://www.scopus.com/pages/publications/0034317306#tab=citedBy

U2 - 10.1007/s002450010015

DO - 10.1007/s002450010015

M3 - Article

AN - SCOPUS:0034317306

SN - 0095-4616

VL - 42

SP - 315

EP - 322

JO - Applied Mathematics and Optimization

JF - Applied Mathematics and Optimization

IS - 3

ER -

A direct approach to deriving filtering equations for diffusion processes

Abstract

Keywords

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