An alternative approach to nonlinear filtering

Izidor Gertner

Stochastic Processes and their Applications, 1978, vol. 7, issue 3, 231-246

Abstract: The structure of a nonlinear filter with observation process having continuous and discontinuous components is considered. The approach is based on the so-called "Bayes" formula for conditional expectations. "Fubini" type theorems for stochastic integrals are given and used to obtain the representations of an optimal estimate and of the conditional likelihood ratio. A linear unnormalized filtering equation for controlled system process is derived.

Keywords: Discontinuous; processes; differentiation; formula; absolute; continuity; unnormalized; recursive; filter; normalized; recursive; filter (search for similar items in EconPapers)
Date: 1978
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