کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
843129 | 1470525 | 2010 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Relatively optimal filtering on a Hilbert space for measure driven stochastic systems
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
مهندسی (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper we consider linear filtering for discontinuous processes determined by stochastic differential equations on a Hilbert space driven by signed measures in addition to Brownian motion. The dynamics of the observed data is governed by a differential equation driven by a square integrable martingale (not necessarily continuous) while perturbed by a signed measure. We formulate the filtering problem as an optimization problem on the space of bounded linear operator valued functions and present necessary and sufficient conditions for optimality. Further, we prove, under the assumption of finite dimensionality of the output space, that a Kalman-like filter exists and it is explicitly determined by a Riccati type evolution equation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Nonlinear Analysis: Theory, Methods & Applications - Volume 72, Issues 9–10, 1 May 2010, Pages 3695–3706
Journal: Nonlinear Analysis: Theory, Methods & Applications - Volume 72, Issues 9–10, 1 May 2010, Pages 3695–3706
نویسندگان
N.U. Ahmed,