Twardowska, Krystyna ; Marnik, Tomasz ; Pasławska-Południak, Monika
Korbicz, Józef - red. ; Uciński, Dariusz - red.
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
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.
Zielona Góra: Uniwersytet Zielonogórski
AMCS, volume 13, number 2 (2003) ; click here to follow the link