期刊名称：International Journal of Applied Mathematics and Computer Science
电子版ISSN：2083-8492
出版年度：2003
卷号：13
期号：2
出版社：De Gruyter Open
摘要：A nonlinear filtering problem with delays in the state and observation equations is considered. The unnormalized conditional probability density of the filtered diffusion process satisfies the so-called Zakai equation and solves the nonlinear filtering problem. We examine the solution of the Zakai equation using an approximation result. Our theoretical deliberations are illustrated by a numerical example
关键词：nonlinear filtering; stochastic differential equations with delay; Zakai's equation
