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Uniqueness of the Solution to the Zakai and the Kushner–Stratonovich Equations

  • Alan Bain
  • Dan Crisan
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 60)

Abstract

The conditional distribution of the signal π = {π t , t ≥ 0} is a solution of the Kushner–Stratonovich equation, whilst its unnormalised version ρ = {ρ t , t ≥ 0} solves the Zakai equation.

Keywords

Dominate Convergence Theorem Observation Equation Correlate Noise Bibliographical Note Bounded Measurable Function 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  • Alan Bain
    • 1
  • Dan Crisan
    • 2
  1. 1.BNP Paribas 10 Harewood AvLondonUnited Kingdom
  2. 2.Department of MathematicsImperial College London 180 Queen’s GateLondonUnited Kingdom

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