This paper deals with nonlinear filtering problems with delays, i.e., we consider a system (X, Y), which can be represented by means of a system (X, (Y) over cap), in the sense that Y(t) = (Y) over cap (a)(t), where a(t) is a delayed time transformation. We start with X being a Markov process, and then study Markovian systems, not necessarily diffusive, with correlated noises. The interest is focused on the existence of explicit representations of the corresponding filters as functionals depending on the observed trajectory. Various assumptions on the function a(t) are considered.
Nonlinear Filtering for Markov sytems with delayed observations / Calzolari, A; Florchinger, P; Nappo, Giovanna. - In: INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS AND COMPUTER SCIENCE. - ISSN 1641-876X. - STAMPA. - 19, n.1:(2009), pp. 49-57. [10.2478/v10006-009-0004-8]
Nonlinear Filtering for Markov sytems with delayed observations
NAPPO, Giovanna
2009
Abstract
This paper deals with nonlinear filtering problems with delays, i.e., we consider a system (X, Y), which can be represented by means of a system (X, (Y) over cap), in the sense that Y(t) = (Y) over cap (a)(t), where a(t) is a delayed time transformation. We start with X being a Markov process, and then study Markovian systems, not necessarily diffusive, with correlated noises. The interest is focused on the existence of explicit representations of the corresponding filters as functionals depending on the observed trajectory. Various assumptions on the function a(t) are considered.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.