Filtering partially observable diffusions up to the exit time from a domain
We consider a two-component diffusion process with the second component treated as the observations of the first one. The observations are available only until the first exit time of the first component from a fixed domain. We derive filtering equations for an unnormalized conditional distribution of the first component before it hits the boundary and give a formula for the conditional distribution of the first component at the first time it hits the boundary.
Year of publication: |
2011
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Authors: | Krylov, N.V. ; Wang, Teng |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 121.2011, 8, p. 1785-1815
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Publisher: |
Elsevier |
Keywords: | Filtering equations in domains Stochastic partial differential equations |
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