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Linear filtering problem for infinite-dimensional Gaussian processes is studied, the observation process being finite-dimensional. Integral equations for the filter and for covariance of the error are derived. General results are… Click to show full abstract
Linear filtering problem for infinite-dimensional Gaussian processes is studied, the observation process being finite-dimensional. Integral equations for the filter and for covariance of the error are derived. General results are applied to linear SPDEs driven by Gauss–Volterra process observed at finitely many points of the domain.
Keywords:
hilbert spaces;
processes hilbert;
gaussian processes;
filtering gaussian
Journal Title: Stochastics and Dynamics
Year Published: 2019
Link to full text (if available)
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Journal Title: Stochastics and Dynamics
Year Published: 2019
Link to full text (if available)
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recommendations!