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2017 Nonlinear filtering with degenerate noise
David Jaures Fotsa–Mbogne, Etienne Pardoux
Electron. Commun. Probab. 22: 1-14 (2017). DOI: 10.1214/17-ECP74

Abstract

This paper studies a new type of filtering problem, where the diffusion coefficient of the observation noise is strictly positive only in the interior of the bounded interval where observation takes its values. We derive a Zakai and a Kushner–Stratonovich equation, and prove uniqueness of the measure–valued solution of the Zakai equation.

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David Jaures Fotsa–Mbogne. Etienne Pardoux. "Nonlinear filtering with degenerate noise." Electron. Commun. Probab. 22 1 - 14, 2017. https://doi.org/10.1214/17-ECP74

Information

Received: 14 February 2017; Accepted: 17 July 2017; Published: 2017
First available in Project Euclid: 15 August 2017

zbMATH: 06797797
MathSciNet: MR3693770
Digital Object Identifier: 10.1214/17-ECP74

Subjects:
Primary: 60H10 , 60H15

Keywords: Nonlinear filtering , singular observation noise

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