Abstract
Conditions are given to guarantee the existence and uniqueness of solutions to the Duncan-Mortensen-Zakai equation for nonlinear filtering of multivariable diffusions with unbounded coefficients. Sharp upper and lower bounds on the tail of conditional densities are also obtained. A methodology is described to treat these problems using classical p.d.e. methods applied to the "robust" version of the DMZ equation. Several examples are included.
Supported in part by ONR Contract N00014-79-C-0808.
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References
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© 1982 Springer-Verlag
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Hopkins, W.E., Baras, J.S., Blankenship, G.L. (1982). Existence, uniqueness and tail behavior of solutions to Zakai equations with unbounded coefficients. In: Fleming, W.H., Gorostiza, L.G. (eds) Advances in Filtering and Optimal Stochastic Control. Lecture Notes in Control and Information Sciences, vol 42. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0004522
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DOI: https://doi.org/10.1007/BFb0004522
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