We consider the explicit solution of Duncan-Mortensen-Zakai (DMZ) equation for the finite-dimensional filtering system. We show that under certain conditions, the nonlinear filtering system can be solved explicitly with an arbitrary initial condition by solving a system of ordinary differential equations and a Kolmogorov-type equation. Let n be the dimension of state space. We show that we need only n sufficient statistics in order to solve the DMZ equation.


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    Title :

    Finite-dimensional filters with nonlinear drift. XV. New direct method for construction of universal finite-dimensional filter


    Contributors:
    Guo-Qing Hu, (author) / Yau, S.S.-T. (author)


    Publication date :

    2002-01-01


    Size :

    221669 byte




    Type of media :

    Article (Journal)


    Type of material :

    Electronic Resource


    Language :

    English