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Uniqueness of the filtering equations in the space of measures
Multi angle
Authors : Pardoux, Etienne (Author of the conference)
CIRM (Publisher )
60G35 - Applications (signal detection, filtering, etc.), See Also { 62M20, 93E10, 93E11, 94Axx}
93E11 - Filtering
94A12 - Signal theory (characterization, reconstruction, filtering, etc.)
CIRM (Publisher )
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Abstract :
We consider a general class of filtering equations, where all coefficients depend upon the observation process, and the signal and observation noises are correlated. We prove uniqueness of the measure valued solution of the Zakai equation via a duality argument with a backward stochastic partial differential equation.
This is joint work with Dan Crisan, Imperial College, London.
Keywords : Zakai equation; duality; backward SPDE
MSC Codes : This is joint work with Dan Crisan, Imperial College, London.
Keywords : Zakai equation; duality; backward SPDE
60G35 - Applications (signal detection, filtering, etc.), See Also { 62M20, 93E10, 93E11, 94Axx}
93E11 - Filtering
94A12 - Signal theory (characterization, reconstruction, filtering, etc.)
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Information on the Video
Film maker : Hennenfent, GuillaumeLanguage : English Available date : 10/05/2022 Conference Date : 28/04/2022 Subseries : Research talks arXiv category : Probability Mathematical Area(s) : Probability & Statistics Format : MP4 (.mp4) - HD Video Time : 00:49:49 Targeted Audience : Researchers ; Graduate Students Download : https://videos.cirm-math.fr/2022-04-28_Pardoux.mp4 
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Information on the Event
Event Title : Probability/PDE Interactions: Interface Models and Particle Systems / Interactions EDP/Probabilités : interfaces et systèmes de particulesEvent Organizers : Duerinckx, Mitia ; Gess, Benjamin ; Fathi, Max ; Guillin, Arnaud ; Simon, Marielle Dates : 25/04/2022 - 29/04/2022 Event Year : 2022 Event URL : https://conferences.cirm-math.fr/2557.html
Citation Data
DOI : 10.24350/CIRM.V.19909803Cite this video as: Pardoux, Etienne (2022). Uniqueness of the filtering equations in the space of measures. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19909803 URI : http://dx.doi.org/10.24350/CIRM.V.19909803 |
See Also
- [Multi angle] Covariance-modulated optimal transport / Author of the conference Hoffmann, Franca.
- [Virtualconference] The mean-field limit to the Vlasov-Poisson-Fokker-Planck system / Author of the conference Jabin, Pierre-Emmanuel.
- [Multi angle] Einstein's effective viscosity formula / Author of the conference Gloria, Antoine.
- [Multi angle] Disorder relevance for non-convex random gradient Gibbs measures in d ≤ 2 / Author of the conference Cotar, Codina.
Bibliography
- BAIN, Alan et CRISAN, Dan. Fundamentals of stochastic filtering. New York : Springer, 2009. - https://doi.org/10.1007/978-0-387-76896-0
- BENSOUSSAN, Alain. Stochastic control of partially observable systems. Cambridge University Press, 1992. - https://doi.org/10.1017/CBO9780511526503
- DU, Kai et MENG, Qingxin. A revisit to W2n-theory of super-parabolic backward stochastic partial differential equations in Rd. Stochastic Processes and their Applications, 2010, vol. 120, no 10, p. 1996-2015. - http://dx.doi.org/10.1016/j.spa.2010.06.001
- DU, Kai, TANG, Shanjian, et ZHANG, Qi. Wm, p-solution (p⩾ 2) of linear degenerate backward stochastic partial differential equations in the whole space. Journal of Differential Equations, 2013, vol. 254, no 7, p. 2877-2904. - https://doi.org/10.1016/j.jde.2013.01.013
- PARDOUX, Etienne et PENG, Shige. Adapted solution of a backward stochastic differential equation. Systems & Control Letters, 1990, vol. 14, no 1, p. 55-61. - https://doi.org/10.1016/0167-6911(90)90082-6
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