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Fractional Generalizations of Zakai Equation and Some Solution Methods

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Abstract

The paper discusses fractional generalizations of Zakai equations arising in filtering problems. The derivation of the fractional Zakai equation, existence and uniqueness of its solution, as well as some methods of solution to the fractional filtering problem, including fractional version of the particle flow method, are presented.

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Authors and Affiliations

  1. Department of Mathematics, University of New Haven, 300 Boston Post Road, West Haven, CT 06516, USA

    Sabir Umarov

  2. Raytheon, 235 Presidents Way, Woburn, MA, USA

    Fred Daum

  3. Electrical and Computer Engineering, Boston University, 8 Saint Mary’s St., Boston, MA, 02215, USA

    Kenric Nelson

Authors
  1. Sabir Umarov
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  2. Fred Daum
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  3. Kenric Nelson
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Correspondence to Sabir Umarov.

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Umarov, S., Daum, F. & Nelson, K. Fractional Generalizations of Zakai Equation and Some Solution Methods. FCAA 21, 336–353 (2018). https://doi.org/10.1515/fca-2018-0020

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  • DOI: https://doi.org/10.1515/fca-2018-0020

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