منابع مشابه
Infinite-Dimensional Filtering: The Kalman-Bucy Filter in Hilbert Space
We examine the question of determining the "best" linear filter, in an expected squared error sense, for a signal generated by stochastic linear differential equation on a Hilbert space. Our results, which extend the development in Kalman and Bucy (1960), rely heavily on the integration theory for Banach-space-valued functions of Dunford and Schwartz (1958). In order to derive the Kalman-Bucy f...
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We investigate the information theoretic properties of KalmanBucy filters in continuous time, developing notions of information supply, storage and dissipation. By introducing a concept of energy, we develop a physical analogy in which the unobservable signal describes a statistical mechanical system interacting with a heat bath. The abstract ‘universe’ comprising the signal and the heat bath o...
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We investigate the information theoretic properties of KalmanBucy filters in continuous time, developing notions of information supply, storage and dissipation. Introducing a concept of energy, we develop a physical analogy in which the unobserved signal describes a statistical mechanical system interacting with a heat bath. The abstract ‘universe’ comprising the signal and the heat bath obeys ...
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ژورنال
عنوان ژورنال: Discrete and Continuous Dynamical Systems
سال: 2014
ISSN: 1078-0947
DOI: 10.3934/dcds.2014.34.4139