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Stochastic Control Theory and Stochastic Differential Systems pp 481–489Cite as

Equations du filtrage non lineaire pour des processus a deux indices

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Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 16))

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Un signal X, qui est représenté comme une semi-martingale d'un mouvement brownien B, est estimé à partir d'un processus d'observation Y, somme d'une fonctionnelle non anticipative de X et d'un mouvement brownien W, qui est indépendant de B et représente le bruit. Les équations récursives du filtrage, satisfaites par l'estimation de X, sont exprimées en fonction des innovations horizontale, verticale et diagonale.

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V-Bibliographie

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Authors and Affiliations

  1. Ecole Nationale Supérieure des Télécommunications, 46 rue Barrault, 75634, Paris

    H. Korezlioglu

  2. Centre National d'Etudes des Télécommunications, 196 rue de Paris, 92220, Bagneux

    G. Mazziotto & J. Szpirglas

Authors
  1. H. Korezlioglu
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  2. G. Mazziotto
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  3. J. Szpirglas
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Editor information

M. Kohlmann W. Vogel

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© 1979 Springer-Verlag

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Korezlioglu, H., Mazziotto, G., Szpirglas, J. (1979). Equations du filtrage non lineaire pour des processus a deux indices. In: Kohlmann, M., Vogel, W. (eds) Stochastic Control Theory and Stochastic Differential Systems. Lecture Notes in Control and Information Sciences, vol 16. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0009406

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  • DOI: https://doi.org/10.1007/BFb0009406

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-09480-7

  • Online ISBN: 978-3-540-35211-2

  • eBook Packages: Springer Book Archive

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