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...

We consider the filtering problem for a partially observable stochastic process , solution to a nonlinear system of stochastic difference equations, which provides a stochastic modellization for both the mean and the variance of the Gaussian observation distribution. The noises in the equations...