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2003 | 13 | 2 | 151-160
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Approximation of the Zakai equation in a nonlinear filtering problem with delay

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A nonlinear filtering problem with delays in the state and observation equations is considered. The unnormalized conditional probability density of the filtered diffusion process satisfies the so-called Zakai equation and solves the nonlinear filtering problem. We examine the solution of the Zakai equation using an approximation result. Our theoretical deliberations are illustrated by a numerical example.
Opis fizyczny
  • Faculty of Mathematics and Information Science, Warsaw University of Technology, Plac Politechniki 1, 00-661 Warsaw, Poland
  • Department of Mathematics, Technical University of Rzeszów, ul. W. Pola 2, 35-959 Rzeszów, Poland
  • Department of Mathematics, Technical University of Rzeszów, ul. W. Pola 2, 35-959 Rzeszów, Poland
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