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Discretization and Simulation of the Zakai Equation

✍ Scribed by Gobet, Emmanuel; Pagès, Gilles; Pham, Huyên; Printems, Jacques


Book ID
118189987
Publisher
Society for Industrial and Applied Mathematics
Year
2006
Tongue
English
Weight
379 KB
Volume
44
Category
Article
ISSN
0036-1429

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A Zakai equation derivation of the exten
✍ Robert J. Elliott; Simon Haykin 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 841 KB

A discrete time filter is considered where both the observation and signal process have non-linear dynamics with additive Gaussian noise. Using the reference probability framework a convolution type Zakai equation is obtained which updates the unnormalized conditional density. Using first order appr