Nonlinear Filtering for Diffusions in Random Environments

Michael A. Kouritzin (), Hongwei Long () and Wei Sun ()

Journal of Theoretical Probability, 2003, vol. 16, issue 1, 1-20

Abstract: Abstract Suppose that the signal X to be estimated is a diffusion process in a random medium W and the signal is correlated with the observation noise. We study the historical filtering problem concerned with estimating the signal path up until the current time based upon the back observations. Using Dirichlet form theory, we introduce a filtering model for general rough signal X W and establish a multiple Wiener integrals representation for the unnormalized pathspace filtering process. Then, we construct a precise nonlinear filtering model for the process X itself and give the corresponding Wiener chaos decomposition.

Keywords: Filtering; random environment; Dirichlet form; historical process; multiple Wiener integrals representation (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1023/A:1022223518746

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