Nonlinear filtering of semi-Dirichlet processes

doi:10.1016/j.spa.2009.09.006

CSpace > 应用数学研究所

	Nonlinear filtering of semi-Dirichlet processes
	Hu, Ze-Chun 2; Ma, Zhi-Ming3 ; Sun, Wei 1
	2009-11-01
发表期刊	STOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN	0304-4149
卷号	119 期号:11 页码:3890-3913
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.
关键词	Nonlinear filtering Semi-Dirichlet forms Filtering equations Uniqueness of solutions Wiener chaos expansions Density equations
DOI	10.1016/j.spa.2009.09.006
语种	英语
资助项目	MITACS-PINTS Centre ; Concordia University ; Nanjing University ; NSFC ; 973 Project ; NSERC
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000271771800003
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/7297
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.