Smoothing and likelihood ratio for Gaussian boundary value processes
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Publication:4207495
DOI10.1109/9.35808zbMath0688.62052MaRDI QIDQ4207495
Arunabha Bagchi, Hans Westdijk
Publication date: 1989
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://research.utwente.nl/en/publications/smoothing-and-likelihood-ratio-for-gaussian-boundary-value-processes(47879a72-d462-4003-ae8a-c94a407ed70b).html
likelihood ratio; random fields; Krein factorization; filtered estimate; noisy boundary conditions; p-dimensional Brownian motion; smoothing of Gaussian two-point boundary value processes; TPBV processes
93E11: Filtering in stochastic control theory
93E10: Estimation and detection in stochastic control theory
62M99: Inference from stochastic processes
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