A general recursive discrete-time filter

DOI10.2307/3214767zbMath0787.93093OpenAlexW2332807800MaRDI QIDQ4274450

Robert J. Elliott

Publication date: 24 May 1994

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214767

zbMATH Keywords

discrete timeGirsanov theoremlinear filtersunnormalized density

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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