Filtering partially observable diffusions up to the exit time from a domain

N.V. Krylov and Teng Wang

Stochastic Processes and their Applications, 2011, vol. 121, issue 8, 1785-1815

Abstract: We consider a two-component diffusion process with the second component treated as the observations of the first one. The observations are available only until the first exit time of the first component from a fixed domain. We derive filtering equations for an unnormalized conditional distribution of the first component before it hits the boundary and give a formula for the conditional distribution of the first component at the first time it hits the boundary.

Keywords: Filtering; equations; in; domains; Stochastic; partial; differential; equations (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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