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Article Dans Une Revue Electronic Communications in Probability Année : 2017

Nonlinear filtering with degenerate noise

Etienne Pardoux
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David Jaures Fotsa-Mbogne

Résumé

This paper studies a new type of filtering problem, where the diffusion coefficient of the observation noise is strictly positive only in the interior of the bounded interval where observation takes its values. We derive a Zakai and a Kushner–Stratonovich equation, and prove uniqueness of the measure–valued solution of the Zakai equation.

Dates et versions

hal-01622215 , version 1 (24-10-2017)

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Etienne Pardoux, David Jaures Fotsa-Mbogne. Nonlinear filtering with degenerate noise. Electronic Communications in Probability, 2017, 22 (44), pp.1 - 14. ⟨10.1214/17-ECP74⟩. ⟨hal-01622215⟩
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