Real time solution of Duncan-Mortensen-Zakai equation without memory

@article{Yau2008RealTS,
  title={Real time solution of Duncan-Mortensen-Zakai equation without memory},
  author={Stephen S.-T. Yau and Shing-Tung Yau},
  journal={2008 47th IEEE Conference on Decision and Control},
  year={2008},
  pages={5086-5091}
}
It is well known that the nonlinear filtering problem has important applications in both military and commercial industries. The central problem of nonlinear filtering is to solve the DMZ equation in real time and memoryless manner. The purpose of this paper is to show that, under very mild conditions (which essentially say that the growth of the observation |h| is greater than the growth of the drift |f|), the DMZ equation admits a unique nonnegative weak solution u which can be approximated… CONTINUE READING

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