Filtering partially observable diffusions up to the exit time from a domain |
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Authors: | NV Krylov Teng Wang |
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Institution: | University of Minnesota, 127 Vincent Hall, Minneapolis, MN, 55455, United States |
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Abstract: | We consider a two-component diffusion process with the second component treated as the observations of the first one. The observations are available only until the first exit time of the first component from a fixed domain. We derive filtering equations for an unnormalized conditional distribution of the first component before it hits the boundary and give a formula for the conditional distribution of the first component at the first time it hits the boundary. |
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Keywords: | Filtering equations in domains Stochastic partial differential equations |
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