Optimal Filtering of Stochastic Parabolic Equations
نویسنده
چکیده
An estimation problem is considered for a stochastic parabolic equation with an unknown random coefficient. The additional randomness in the coefficient generalizes a popular estimation problem that has been extensively studied in recent years. The filter estimate of the coefficient is constructed from a finite-dimensional projection of the solution of the equation. Under certain conditions this estimate is approximated using a generalized Kalman-Bucy filter whose filter variance tends to zero as the dimension of the projection increases. In: S. Albeverio, Z-M. Ma, and M. Roeckner (editors), Recent Developments in Stochastic Analysis and Related Topics (Proceedings of the First Sino-German Conference on Stochastic Analysis, August 29–September 3, 2002, Beijing, China), pp. 330–353, World Scientific, 2004.
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