Nonlinear filtering of reflecting diffusion processes

Hans-Peter Hucke

Stochastic Processes and their Applications, 1990, vol. 35, issue 2, 213-224

Abstract: In the nonlinear filtering model yt=ht(Xt)+et, 0[less-than-or-equals, slant]t[less-than-or-equals, slant]T, where (e1) is a finitely additive white noise, the problem of finding the conditional density u(t,x) of Xt given observations {yu:0[less-than-or-equals, slant]u[less-than-or-equals, slant]t} is considered when (Xt) is a reflecting diffusion process. It is shown that u(t,x) can be obtained as the unique classical solution of an initial-boundary value problem for a parabolic PDE.

Keywords: nonlinear; filtering; white; noise; model; reflecting; diffusions; Feynman-Kac; formula (search for similar items in EconPapers)
Date: 1990
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