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