Approximation of the Zakai Equation in a Nonlinear Filtering Problem With Delay
Approximation of the Zakai Equation in a Nonlinear Filtering Problem With Delay
复制标题
时滞非线性滤波问题中Zakai方程的逼近
DOI：
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发表时间：
2003
期刊：
影响因子：
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通讯作者：
M. Paslawska
中科院分区：
文献类型：
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作者：
K. Twardowska;Tomasz Marnik;M. Paslawska
考虑了状态方程和观测方程中含有时滞的非线性滤波问题。滤波扩散过程的非归一化条件概率密度满足所谓的Zakai方程，解决了非线性滤波问题。我们研究的解决方案Zakai方程使用的近似结果。我们的理论讨论说明了一个数值例子。
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.