Creator:

Calzolari, Antonella ; Florchinger, Patrick ; Nappo, Giovanna

Contributor:

Korbicz, Józef (1951- ) - ed.

Title:

Nonlinear filtering for Markov systems with delayed observations

Group publication title:

AMCS, volume 19 (2009)

Subject and Keywords:

nonlinear filtering ; jump processes ; diffusion processes ; Markov processes ; stochastic delay differential equation

Abstract:

This paper deals with nonlinear filtering problems with delays. We start with X being a Markov process, and then study Markovian systems, not necessarily diffusive, with correlated noises. The interest is focused on the existence of explicit representations of the corresponding filters as functionals depending on the observed trajectory. Various assumptions on the function a(t) are considered.

Publisher:

Zielona Góra: Uniwersytet Zielonogórski

Date:

2009

Resource Type:

artykuł

DOI:

10.2478/v10006-009-0004-8

Pages:

49-57

Source:

AMCS, volume 19, number 1 (2009) ; click here to follow the link

Language:

eng

License CC BY 4.0:

click here to follow the link

Rights:

Biblioteka Uniwersytetu Zielonogórskiego