English
Uniqueness of the filtering equations in the space of measures
Multi angle
Auteurs : Pardoux, Etienne (Auteur de la conférence)
CIRM (Editeur )
60G35 - Applications (signal detection, filtering, etc.), See Also { 62M20, 93E10, 93E11, 94Axx}
93E11 - Filtering
94A12 - Signal theory (characterization, reconstruction, filtering, etc.)
CIRM (Editeur )
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Résumé :
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.
Mots-Clés : Zakai equation; duality; backward SPDE
Codes MSC : This is joint work with Dan Crisan, Imperial College, London.
Mots-Clés : 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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Informations sur la Vidéo
Réalisateur : Hennenfent, GuillaumeLangue : Anglais Date de Publication : 10/05/2022 Date de Captation : 28/04/2022 Sous Collection : Research talks Catégorie arXiv : Probability Domaine(s) : Probabilités & Statistiques Format : MP4 (.mp4) - HD Durée : 00:49:49 Audience : Chercheurs ; Etudiants Science Cycle 2 Download : https://videos.cirm-math.fr/2022-04-28_Pardoux.mp4 
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Informations sur la Rencontre
Nom de la Rencontre : Probability/PDE Interactions: Interface Models and Particle Systems / Interactions EDP/Probabilités : interfaces et systèmes de particulesOrganisateurs de la Rencontre : Duerinckx, Mitia ; Gess, Benjamin ; Fathi, Max ; Guillin, Arnaud ; Simon, Marielle Dates : 25/04/2022 - 29/04/2022 Année de la rencontre : 2022 URL de la Rencontre : https://conferences.cirm-math.fr/2557.html
Données de citation
DOI : 10.24350/CIRM.V.19909803Citer cette vidéo: 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 |
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Bibliographie
- 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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