Approximation of the Zakai Equation in a Nonlinear Filtering Problem With Delay

• Autorzy: Twardowska K. , Marnik T. , Pasławska-Południak M.
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

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

PL

filtracja nieliniowa; równanie różniczkowe stochastyczne; równanie Zakai

• Wydawca: Oficyna Wydawnicza Uniwersytetu Zielonogórskiego
• Czasopismo: International Journal of Applied Mathematics and Computer Science
• Rocznik: 2003
• Tom: Vol. 13, no 2
• Strony: 151--160
• Opis fizyczny: Bibliogr. 38 poz., wykr.

Twórcy

autor

Twardowska K.

• Faculty of Mathematics and Information Science, Warsaw University of Technology, Plac Politechniki 1, 00–661 Warsaw, Poland

autor

Marnik T.

• Department of Mathematics, Technical University of Rzeszów, ul. W. Pola 2, 35–959 Rzeszów, Poland

autor

Pasławska-Południak M.

• Department of Mathematics, Technical University of Rzeszów, ul. W. Pola 2, 35–959 Rzeszów, Poland

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