The nonlinear filtering problem for the unbounded case

Kallianpur, G. ; Karandikar, R. L. (1984) The nonlinear filtering problem for the unbounded case Stochastic Processes and their Applications, 18 (1). pp. 57-66. ISSN 0304-4149

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Official URL: http://linkinghub.elsevier.com/retrieve/pii/030441...

Related URL: http://dx.doi.org/10.1016/0304-4149(84)90161-3

Abstract

The finitely additive nonlinear filtering problem for the model yt = ht(Xt)+et is solved when the function h is unbounded and satisfies no growth conditions whatever.

Item Type:Article
Source:Copyright of this article belongs to Elsevier Science.
Keywords:Nonlinear Filtering; Finitely Additive Version of Bayes Formula; Fundamental Solution; PDE
ID Code:18403
Deposited On:17 Nov 2010 09:16
Last Modified:04 Jun 2011 08:19

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