- Tytuł:
- Approximation of the Zakai Equation in a Nonlinear Filtering Problem With Delay
- Autorzy:
-
Twardowska, K.
Marnik, T.
Pasławska-Południak, M. - Powiązania:
- https://bibliotekanauki.pl/articles/908197.pdf
- Data publikacji:
- 2003
- Wydawca:
- Uniwersytet Zielonogórski. Oficyna Wydawnicza
- Tematy:
-
stochastic differential equations with delay
Zakai's equation
nonlinear filtering
matematyka - Opis:
- 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.
- Źródło:
-
International Journal of Applied Mathematics and Computer Science; 2003, 13, 2; 151-160
1641-876X
2083-8492 - Pojawia się w:
- International Journal of Applied Mathematics and Computer Science
- Dostawca treści:
- Biblioteka Nauki
Artykuł