Filtering of Gaussian processes in Hilbert spaces
Probability
2019-09-10 v2
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.
Cite
@article{arxiv.1903.11464,
title = {Filtering of Gaussian processes in Hilbert spaces},
author = {Vit Kubelka and Bohdan Maslowski},
journal= {arXiv preprint arXiv:1903.11464},
year = {2019}
}