Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155896 | Stochastic Processes and their Applications | 2009 | 24 Pages |
Abstract
Herein, we consider the nonlinear filtering problem for general right continuous Markov processes, which are assumed to be associated with semi-Dirichlet forms. First, we derive the filtering equations in the semi-Dirichlet form setting. Then, we study the uniqueness of solutions of the filtering equations via the Wiener chaos expansions. Our results on the Wiener chaos expansions for nonlinear filters with possibly unbounded observation functions are novel and have their own interests. Furthermore, we investigate the absolute continuity of the filtering processes with respect to the reference measures and derive the density equations for the filtering processes.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Ze-Chun Hu, Zhi-Ming Ma, Wei Sun,