Filtering theory for a weakly coloured noise process

Abstract

The problem of analyzing the Ito stochastic differential system and its filtering has received attention. The classical approach to accomplish filtering for the Ito SDE is the Kushner equation. In contrast to the classical filtering approach, this paper presents filtering for the stochastic differential system affected by weakly coloured noise. As a special case, the process can be regarded as the Ornstein-Uhlenbeck (OU) process. The theory of this paper is based on a pioneering contribution of Stratonovich involving the perturbation-theoretic approach to noisy dynamical systems in combination with the notion of the filtering density evolution. Making the use of the filtering density evolution equation, the stochastic evolution of condition moment is derived. A scalar Duffing system driven by the OU process is employed to test the effectiveness of the filtering theory of the paper. Numerical simulations involving four different sets of initial conditions and system parameters are utilized to examine the efficacy of the filtering algorithm of this paper.