TY - CHAP
T1 - Low-Noise Analysis of Zakai’s Equation
AU - Schuss, Zeev
N1 - Publisher Copyright:
© Springer Science+Business Media, LLC 2012.
PY - 2012
Y1 - 2012
N2 - Zakai’s equation is a stochastic linear parabolic initial value problem that except for the linear case, has a closed-form solution only in exceptional and not very useful cases [165]. To understand the difficulties in applying the Zakai equation to the filtering problem, we consider again the simplified one-dimensional filtering problem (3.22), (3.23), 4.1.
AB - Zakai’s equation is a stochastic linear parabolic initial value problem that except for the linear case, has a closed-form solution only in exceptional and not very useful cases [165]. To understand the difficulties in applying the Zakai equation to the filtering problem, we consider again the simplified one-dimensional filtering problem (3.22), (3.23), 4.1.
KW - Conditional Moment
KW - Extended Kalman Filter
KW - Optimal Filter
KW - Riccati Equation
KW - Stochastic Differential Equation
UR - http://www.scopus.com/inward/record.url?scp=85068188360&partnerID=8YFLogxK
U2 - 10.1007/978-1-4614-0487-3_4
DO - 10.1007/978-1-4614-0487-3_4
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AN - SCOPUS:85068188360
T3 - Applied Mathematical Sciences (Switzerland)
SP - 107
EP - 145
BT - Applied Mathematical Sciences (Switzerland)
PB - Springer
ER -