Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises

Marco Ferrante and Paolo Vidoni

Stochastic Processes and their Applications, 1998, vol. 77, issue 1, 69-81

Abstract: We consider the filtering problem for partially observable stochastic processes solutions to systems of stochastic difference equations. In the first part of the paper we shall present a simple constructive method to obtain finite dimensional filters in discrete time. Then, applying some well-known results, mainly on the product of independent positive random variables, we shall present new finite dimensional filters and interpret some known results in a more general setting.

Keywords: Stochastic; filtering; Finite; dimensional; filters (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (6)

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