Filtering partially observable diffusions up to the exit time from a domain.

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Filtering partially observable diffusions up to the exit time from a domain.

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Wang, Teng

Published Date

2012-07

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Thesis or Dissertation

Abstract

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. We also derive a formula for the conditional distribution of the exit time if the observation is always available.

Keywords

Filtering equations in domains

Stochastic partial differential equations

Mathematics

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University of Minnesota Ph.D. dissertation. July 2012. Major: Mathematics. Advisor: N.V. Krylov. 1 computer file (PDF); iii, 60 pages.

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Wang, Teng. (2012). Filtering partially observable diffusions up to the exit time from a domain.. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/135834.

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