The nonlinear filtering problem for the unbounded case

G. Kallianpur and R. L. Karandikar

Stochastic Processes and their Applications, 1984, vol. 18, issue 1, 57-66

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.

Keywords: nonlinear; filtering; finitely; additive; version; of; Bayes; formula; fundamental; solution; PDE (search for similar items in EconPapers)
Date: 1984
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