An infinite expansion for non-linear filtering

Yaoqi Yu and Rui J. P. de Figueiredo

Stochastic Processes and their Applications, 1994, vol. 51, issue 2, 329-340

Abstract: An abstract filtering equation is derived for a partially observed system. An infinite series expansion is obtained for the best mean square estimate in terms of the iterated Ito integrals with respect to the innovation process.

Keywords: Filtering; problem; Predictable; process; Semimartingale; Ito; stochastic; integral; Ito; formula; Innovation; process (search for similar items in EconPapers)
Date: 1994
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