On extending classical filtering equations

In this paper, we give a direct derivation of the Duncan-Mortensen-Zakai filtering equation, without assuming right continuity of the signal, nor its filtration, and without the usual finite energy condition. As a consequence, the Fujisaki-Kallianpur-Kunita equation is also derived. Our results can be applied to filtering problems in which the signal process has [alpha]-stable ([alpha]>1) components, and the sensor function is linear.

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Year of publication:	2008
Authors:	Kouritzin, Michael A. ; Long, Hongwei
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 18, p. 3195-3202
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223783