Creator:

Twardowska, Krystyna ; Marnik, Tomasz ; Pasławska-Południak, Monika

Contributor:

Korbicz, Józef - red. ; Uciński, Dariusz - red.

Title:

Approximation of the Zakai equation in a nonlinear filtering problem with delay

Subject and Keywords:

nonlinear filtering ; stochastic differential equations with delay ; Zakai's equation

Abstract:

A nonlinear filtering problem with delays in the state and observation equations is considered. The unnormalized conditional probability density of the filtered diffusion process satisfies the so-called Zakai equation and solves the nonlinear filtering problem. We examine the solution of the Zakai equation using an approximation result. Our theoretical deliberations are illustrated by a numerical example.

Publisher:

Zielona Góra: Uniwersytet Zielonogórski

Date:

2003

Resource Type:

artykuł

Pages:

151-160

Source:

AMCS, volume 13, number 2 (2003) ; click here to follow the link

Language:

eng

Rights:

Biblioteka Uniwersytetu Zielonogórskiego