The nonlinear filtering problem for the unbounded case

The finitely additive nonlinear filtering problem for the model yt = ht(Xt)+et is solved when the function h is unbounded and satisfies no growth conditions whatever.

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Year of publication:	1984
Authors:	Kallianpur, G. ; Karandikar, R. L.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 18.1984, 1, p. 57-66
Publisher:	Elsevier
Keywords:	nonlinear filtering finitely additive version of Bayes formula fundamental solution PDE

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

Persistent link: https://www.econbiz.de/10008872771