Finite-dimensional filters with nonlinear drift. XV. New directmethod for construction of universal finite-dimensional filter |
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Authors: | Guo-Qing Hu Yau SS-T |
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Institution: | Illinois Univ., Chicago, IL; |
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Abstract: | We consider the explicit solution of Duncan-Mortensen-Zakai (DMZ) equation for the finite-dimensional filtering system. We show that under certain conditions, the nonlinear filtering system can be solved explicitly with an arbitrary initial condition by solving a system of ordinary differential equations and a Kolmogorov-type equation. Let n be the dimension of state space. We show that we need only n sufficient statistics in order to solve the DMZ equation |
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