The Filtering Problem on Stochastic Dynamical Systems: Zakai Equation and the Kushner-Stratonovich Equation
Host
Department of Applied Mathematics
Description
The stochastic filtering problem is to estimate a dynamical system (the signal system) customarily modeled by another stochastic process (the observation system). The aim of stochastic filtering is to determine the filter which is the conditional distribution of signal system given the observed data. And the filter satisfy the Kushner-Stratonovich Equation and can be describe in term of the un-normalized filter, which satisfy the Zakai equation.
Event Topic
Stochastic & Multiscale Modeling and Computation