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A Direct Approach to Deriving Filtering Equations for Diffusion Processes |
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| Authors: | N. V. Krylov A. Zatezalo |
| Affiliation: | (1) 127 Vincent Hall, University of Minnesota, Minneapolis, MN 55455, USA {krylov,zatezalo}@math.umn.edu, US |
| Abstract: | Filtering equations are derived for conditional probability density functions in case of partially observable diffusion processes by using results and methods from the L p -theory of SPDEs. The method of derivation is new and does not require any knowledge of filtering theory. Accepted 31 July 2000. Online publication 13 November 2000. |
| Keywords: | . Filtering Diffusion processes Lp -Theory of SPDEs. AMS Classification. Primary 60G35 Secondary 62M20. |
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