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Nonlinear filtering of semi-Dirichlet processes

文献类型：期刊论文

作者Hu, Ze-Chun2; Ma, Zhi-Ming3; Sun, Wei1
刊名STOCHASTIC PROCESSES AND THEIR APPLICATIONS
出版日期2009-11-01
卷号119期号:11页码:3890-3913
关键词Nonlinear filtering Semi-Dirichlet forms Filtering equations Uniqueness of solutions Wiener chaos expansions Density equations
ISSN号0304-4149
DOI10.1016/j.spa.2009.09.006
英文摘要Herein, we consider the nonlinear filtering problem for general right continuous Markov processes, which are assumed to be associated with semi-Dirichlet forms. First, we derive the filtering equations in the semi-Dirichlet form setting. Then, we study the uniqueness of solutions of the filtering equations via the Wiener chaos expansions. Our results on the Wiener chaos expansions for nonlinear filters with possibly unbounded observation functions are novel and have their own interests. Furthermore, we investigate the absolute continuity of the filtering processes with respect to the reference measures and derive the density equations for the filtering processes. (C) 2009 Elsevier B.V. All rights reserved.
资助项目MITACS-PINTS Centre ; Concordia University ; Nanjing University ; NSFC ; 973 Project ; NSERC
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000271771800003
出版者ELSEVIER SCIENCE BV
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/7296]  
专题应用数学研究所
通讯作者Sun, Wei
作者单位1.Concordia Univ, Dept Math & Stat, Montreal, PQ H3G 1M8, Canada
2.Nanjing Univ, Dept Math, Nanjing, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100864, Peoples R China
推荐引用方式
GB/T 7714		 Hu, Ze-Chun,Ma, Zhi-Ming,Sun, Wei. Nonlinear filtering of semi-Dirichlet processes[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS,2009,119(11):3890-3913.
APA Hu, Ze-Chun,Ma, Zhi-Ming,&Sun, Wei.(2009).Nonlinear filtering of semi-Dirichlet processes.STOCHASTIC PROCESSES AND THEIR APPLICATIONS,119(11),3890-3913.
MLA Hu, Ze-Chun,et al."Nonlinear filtering of semi-Dirichlet processes".STOCHASTIC PROCESSES AND THEIR APPLICATIONS 119.11(2009):3890-3913.

入库方式： OAI收割

来源：数学与系统科学研究院

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