Filtering partially observable diffusions up to the exit time from a domain

N. V. Krylov, Teng Wang

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

We consider a two-component diffusion process with the second component treated as the observations of the first one. The observations are available only until the first exit time of the first component from a fixed domain. We derive filtering equations for an unnormalized conditional distribution of the first component before it hits the boundary and give a formula for the conditional distribution of the first component at the first time it hits the boundary.

Original languageEnglish (US)
Pages (from-to)1785-1815
Number of pages31
JournalStochastic Processes and their Applications
Volume121
Issue number8
DOIs
StatePublished - Aug 2011

Bibliographical note

Funding Information:
The work of the first author was partially supported by NSF Grant DMS-0653121 .

Keywords

  • Filtering equations in domains
  • Stochastic partial differential equations

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