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On a method for an effective calculation of optimal estimates in problems of filtration of random processes for certain nonlinear evolution differential equations in Hilbert space. Part II

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Published/Copyright: August 1, 2012
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Random Operators and Stochastic Equations
From the journal Random Operators and Stochastic Equations Volume 20 Issue 2

Abstract.

We continue the investigations in this paper which were considered in its first part. In particular, the problem of optimal filtration of one components of solution of nonlinear evolutionary differential equation in a Hilbert space H perturbing by Gaussian random process under observation of the second components of the same equation is considered. Using the results of the first part of this paper, here the algorithm for the calculation of an optimal estimate in the filtration problem is obtained.

Keywords: Optimal estimates; Hilbert space
Received: 2010-06-12
Accepted: 2010-11-21
Published Online: 2012-08-01
Published in Print: 2012-08-01

© 2012 by Walter de Gruyter Berlin Boston

Articles in the same Issue

  1. Masthead
  2. On a method for an effective calculation of optimal estimates in problems of filtration of random processes for certain nonlinear evolution differential equations in Hilbert space. Part II
  3. Reflected backward doubly stochastic differential equations with discontinuous generator
  4. Evolution in multidimensional spaces
  5. The Circular Law. Thirty years later
  6. Canonical equation for normalized spectral functions of a pencil of random nonsymmetric matrices
https://doi.org/10.1515/rose-2012-0004
Keywords for this article
Optimal estimates; Hilbert space

Articles in the same Issue

  1. Masthead
  2. On a method for an effective calculation of optimal estimates in problems of filtration of random processes for certain nonlinear evolution differential equations in Hilbert space. Part II
  3. Reflected backward doubly stochastic differential equations with discontinuous generator
  4. Evolution in multidimensional spaces
  5. The Circular Law. Thirty years later
  6. Canonical equation for normalized spectral functions of a pencil of random nonsymmetric matrices
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