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Filtering equations in infinite dimensional spaces with mixed type observation

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P. Florchinger
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Abstract:

The purpose of this paper is to compute the filtering equations when the state process, given as the solution of a stochastic differential equation on a Hilbert space, is...Show More

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Abstract:

The purpose of this paper is to compute the filtering equations when the state process, given as the solution of a stochastic differential equation on a Hilbert space, is observed through a finite dimensional process having continuous and discontinuous components.
Published in: 42nd IEEE International Conference on Decision and Control (IEEE Cat. No.03CH37475)
Date of Conference: 09-12 December 2003
Date Added to IEEE Xplore: 15 March 2004
Print ISBN:0-7803-7924-1
Print ISSN: 0191-2216
DOI: 10.1109/CDC.2003.1272680
Conference Location: Maui, HI, USA
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