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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