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Filtering with observations on a Riemannian symmetric space

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Stochastic Differential Systems

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 78))

Abstract

We studied a non standard filtering model. Observation process Y takes values in a symmetric space M. This particular assumption allows to consider process Y under a multiplicative form and then generalizes the previous cases [8] [9] More precisely, process Y depends on signal X by means of a stochastic isometric transformation : Yt=gt (X). Wt where Wt is a Brownian motion taking values in M. We get an intrinsical filtering equation under Stratonovitch form.

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Author information

Authors and Affiliations

  1. Dépt Mathématiques et Informatique, UNIVERSITE D'ORLEANS, 45046, ORLEANS CEDEX

    Monique Pontier

  2. I. N. T., 9, rue Charles Fourier, 91011, EVRY CEDEX

    Jacques Szpirglas

Authors
  1. Monique Pontier
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  2. Jacques Szpirglas
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Editor information

Norbert Christopeit Kurt Helmes Michael Kohlmann

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© 1986 Springer-Verlag

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Pontier, M., Szpirglas, J. (1986). Filtering with observations on a Riemannian symmetric space. In: Christopeit, N., Helmes, K., Kohlmann, M. (eds) Stochastic Differential Systems. Lecture Notes in Control and Information Sciences, vol 78. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0041174

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  • DOI: https://doi.org/10.1007/BFb0041174

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-16228-5

  • Online ISBN: 978-3-540-39767-0

  • eBook Packages: Springer Book Archive

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