Article
Ufa Mathematical Journal
Volume 3, Number 2, pp. 3-9
About filtering problem of diffusive processes
Asadullin E.M., Nasyrov F.S.
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The filtering problem of nonlinear one-dimmentional diffu\-sion processes is considered. The structures of observable and nonobserv\-able processes are found. It is shown, that solution of the filtering problem may be deduced to solution of filtering problem for the case when nonob\-servable process have simpler structure and observable process is Wiener process with random smooth trend. The equation connecting expectation for the initial filtering problem and nonnormalized filtering density for the deduced filtering problem is received.