On filtering over Îto-Volterra observations

Michael V. Basin

International Journal of Stochastic Analysis, 2000, vol. 13, 1-18

Abstract:

In this paper, the Kalman-Bucy filter is designed for an Îto-Volterra process over Ito-Volterra observations that cannot be reduced to the case of a differential observation equation. The Kalman-Bucy filter is then designed for an Ito-Volterra process over discontinuous Ito-Volterra observations. Based on the obtained results, the filtering problem over discrete observations with delays is solved. Proofs of the theorems substantiating the filtering algorithms are given.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:525648

DOI: 10.1155/S1048953300000319

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