Nonlinear Filtering of Semi-Dirichlet Processes

  The talk is based on my recent joint work with Zhechun Hu and Wei Sun. We consider a nonlinear filtering problem for general right continuous Markov processes associated with semi-Dirichlet forms. We show that in our general setting the filtering processes satisfy also DMZ (Duncan-Mortensen-Zakai) equation. The uniqueness of the solutions of the filtering equations are verified through their Wiener chaos expansions. Our results on the Wiener chaos expansions for nonlinear filters with possibly unbounded observation functions are novel and have their own interests. We investigate further the absolute continuity of the filtering processes with respect to the reference measures and derive the density equations for the filtering processes.