On non-linear filtering problems for discrete time stochastic processes

OKABE, Yasunori; MATSUURA, Masaya

J. Math. Soc. Japan, Tome 57 (2005) no. 4, p. 1067-1076 / Harvested from Project Euclid

Résumé

In this paper, we shall develop the linear causal analysis for the system consisting of two flows in a real inner product space and give an algorithm for calculating the non-linear filter for a discrete stochastic system which is given by two discrete time stochastic processes, to be called a signal process and an observation process, based upon the theory of $\mathrm{KM}_2\mathrm{O}$ -Langevin equations.

Publié le : 2005-10-14
Classification: $\mathrm{KM}_2\mathrm{O}$-Langevin equation, non-linear filtering problem, filtering matrix function, 60G25, 60G12, 82C05

@article{1150287304,
     author = {OKABE, Yasunori and MATSUURA, Masaya},
     title = {On non-linear filtering problems for discrete time stochastic processes},
     journal = {J. Math. Soc. Japan},
     volume = {57},
     number = {4},
     year = {2005},
     pages = { 1067-1076},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1150287304}
}

OKABE, Yasunori; MATSUURA, Masaya. On non-linear filtering problems for discrete time stochastic processes. J. Math. Soc. Japan, Tome 57 (2005) no. 4, pp.  1067-1076. http://gdmltest.u-ga.fr/item/1150287304/