A Bayes formula for nonlinear filtering with Gaussian and Cox noise (Q764410): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Bayes formula for nonlinear filtering with Gaussian and Cox noise |
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A Bayes formula for nonlinear filtering with Gaussian and Cox noise (English)
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13 March 2012
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Summary: A Bayes-type formula is derived for the nonlinear filter where the observation contains both general Gaussian noise as well as Cox noise whose jump intensity depends on the signal. This formula extends the well-known Kallianpur-Striebel formula in the classical non-linear filter setting. We also discuss Zakai-type equations for both the unnormalized conditional distribution as well as the unnormalized conditional density in case the signal is a Markovian jump diffusion.
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Gaussian noise
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Cox noise
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nonlinear filter
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Markovian jump diffusion
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Zakai-type equations
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