Type:
Conference Paper›Invited plenary and keynote addresses at conferences, symposia, workshops
Authored by:
Hopkins, William E., Baras, John S., Blankenship, Gilmer L.
Publication date:
Conference:
Advances in Filtering and Stochastic Control, W.H. Fleming and L.G. Gorostiza, Vol. 42, pp. 01-17
Full Text Paper:
Abstract:
Conditions are given to guarantee the existence and uniqueness of solutions to the Duncan-Mortensen-Zakai equation for nonlinear filtering of multivariable diffusions with unbounded coefficients. Sharp upper and lower bounds on the trail of conditional densities are also obtained. A methodology is described to treat these problems using classical p.d.e methods applied to the "robust" version of the DMZ equation. Several examples are included.