Nonlinear Filtering Revisited: a Spectral Approach, II∗
نویسندگان
چکیده
A recursive in time Wiener chaos representation of the optimal nonlinear filter is derived for a continuous time diffusion model with uncorrelated noises. The existing representations are either not recursive or require a prior computation of the unnormalized filtering density, which is time consuming. An algorithm is developed for computing a recursive approximation of the filter, and the error of the approximation is obtained. When the parameters of the model are known in advance, the on-line speed of the algorithm can be increased by performing part of the computations off line.
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Nonlinear Filtering Revisited : a Spectral Approach ∗
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