Nonlinear Filtering of Diffusion Processes: Implementable Approximations of the Duncan-Mortensen-Zakai Equation

Nonlinear Filtering of Diffusion Processes: Implementable Approximations of the Duncan-Mortensen-Zakai Equation

Title : Nonlinear Filtering of Diffusion Processes: Implementable Approximations of the Duncan-Mortensen-Zakai Equation
Authors :
Baras, John, S.
Conference : The 1982 IEEE International Symposium of Information Theory pp. 1-4
Date: July 01 - July 01, 1982

Numerical methods for the solution of the robust version of the Duncan-Mortensen-Zakai partial differential equation are considered. Both semidiscretization and complete discretization schemes are included. Direct implementation of such schemes via array processors is proposed as a design method for nonlinear filters. The importance of existence, uniqueness and tail behavior of solutions is irelated to  properties of such implementations.

Download Full Paper