Reduction of the Zakai equation by invariance group techniques

Michel Cohen de Lara

Stochastic Processes and their Applications, 1998, vol. 73, issue 1, 119-130

Abstract: A general procedure, inspired from that used for deterministic partial differential equations, is presented to reduce the Zakai stochastic Pde of filtering on n to a stochastic Pde on a lower-dimensional space m, with m

Keywords: Filtering; Zakai; equation; Invariant; solution; Tracking; Riemannian; geometry (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (2)

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