Some solvable classes of filtering problem with Ornstein-Uhlenbeck noise | Zendy

Zhicheng Liu | Zendy; Jie Xiong | Zendy

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Some solvable classes of filtering problem with Ornstein-Uhlenbeck noise

Author(s) -

Zhicheng Liu,

Jie Xiong

Publication year - 2010

Publication title -

communications on stochastic analysis

Language(s) - English

Resource type - Journals

eISSN - 2688-6669

pISSN - 0973-9599

DOI - 10.31390/cosa.4.1.04

Subject(s) - ornstein–uhlenbeck process , noise (video) , mathematics , computer science , artificial intelligence , statistics , stochastic process , image (mathematics)

This is a companion paper of Crisan et el [4]. In this article, we study a few classes of solvable models of the stochastic filtering problems with Ornstein-Uhlenbeck noise: Firstly, we study the singular linear filter with OU noise. Secondly, for nonsingular linear filtering with OU noise, we consider the limit to the classical Kalman-Bucy filter as the OU process converges to the Brownian motion. Finally, we investigate the same filtering problem when the signal is governed by a nonlinear stochastic differential equation.

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