{
  "id": "1903.11464",
  "version": "v1",
  "published": "2019-03-27T14:54:40.000Z",
  "updated": "2019-03-27T14:54:40.000Z",
  "title": "Filtering of Gaussian processes in Hilbert spaces",
  "authors": [
    "Vit Kubelka",
    "Bohdan Maslowski"
  ],
  "categories": [
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2019-03-27T14:54:40.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "hilbert spaces",
      "linear spdes driven",
      "infinite-dimensional gaussian processes",
      "integral equations",
      "observation process"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}