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arXiv · 1903.11464

Filtering of Gaussian processes in Hilbert spaces

Vit Kubelka·Bohdan Maslowski
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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.

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Vit Kubelka, Bohdan Maslowski. 2019-03-27. Filtering of Gaussian processes in Hilbert spaces. https://doi.org/10.1142/s0219493720500203

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