Relatively optimal filtering on a Hilbert space for measure driven stochastic systems

DOI10.1016/j.na.2010.01.006zbMath1211.93120OpenAlexW2075977836MaRDI QIDQ960895

Nasir Uddin Ahmed

Publication date: 29 March 2010

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2010.01.006

zbMATH Keywords

Hilbert spacelinear filteringimpulsive systemssigned measures\(C_{0}\)-semigroupsmeasure driven differential Riccati equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear differential equations in abstract spaces (34G20) Dependence of solutions to PDEs on initial and/or boundary data and/or on parameters of PDEs (35B30) Control/observation systems in abstract spaces (93C25) Optimality conditions for problems involving randomness (49K45)

Cites Work

• On filtering equations in infinite dimensions
• Existence of Optimal Controls for a General Class of Impulsive Systems on Banach Spaces
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