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

Mathematics

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

8 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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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.",

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

AU - Krylov, N. V.

AU - Zatezalo, A.

PY - 2000

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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

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JO - Applied Mathematics and Optimization

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A direct approach to deriving filtering equations for diffusion processes

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