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Nonliner Filtering for Reflecting Diffusions in Random Enviroments via Nonparametric Estimation

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Nonliner Filtering for Reflecting Diffusions in Random Enviroments via Nonparametric Estimation
2.	Creator	Author's name, affiliation, country	Michael A. Kouritzin; University of Alberta, Canada
2.	Creator	Author's name, affiliation, country	Wei Sun; University of Alberta and Concordia University, Canada
2.	Creator	Author's name, affiliation, country	Jie Xiong; University of Tennessee
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)
4.	Description	Abstract	We study a nonlinear filtering problem in which the signal to be estimated is a reflecting diffusion in a random environment. Under the assumption that the observation noise is independent of the signal, we develop a nonparametric functional estimation method for finding workable approximate solutions to the conditional distributions of the signal state. Furthermore, we show that the pathwise average distance, per unit time, of the approximate filter from the optimal filter is asymptotically small in time. Also, we use simulations based upon a particle filter algorithm to show the efficiency of the method.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2004-07-30
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/214
10.	Identifier	Digital Object Identifier	10.1214/EJP.v9-214
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 9
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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