Linear filtering with Ornstein-Uhlenbeck process as noise
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Publication:2371221
DOI10.1007/BF02719778zbMath1114.93091MaRDI QIDQ2371221
Publication date: 2 July 2007
Published in: Sādhanā (Search for Journal in Brave)
93E11: Filtering in stochastic control theory
60J65: Brownian motion
93E03: Stochastic systems in control theory (general)
Cites Work
- Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering
- Stochastic differential equations for the non linear filtering problem
- Characterization of the optimal filter: the non markov case
- A Bayes Formula for Gaussian Noise Processes and its Applications
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