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Filtering partially observable diffusions up to the exit time from a domain

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  • Krylov, N.V.
  • Wang, Teng

Abstract

We consider a two-component diffusion process with the second component treated as the observations of the first one. The observations are available only until the first exit time of the first component from a fixed domain. We derive filtering equations for an unnormalized conditional distribution of the first component before it hits the boundary and give a formula for the conditional distribution of the first component at the first time it hits the boundary.

Suggested Citation

  • Krylov, N.V. & Wang, Teng, 2011. "Filtering partially observable diffusions up to the exit time from a domain," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1785-1815, August.
  • Handle: RePEc:eee:spapps:v:121:y:2011:i:8:p:1785-1815
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