Linear filtering with Ornstein-Ulhenbeck process as noise
Author:
Publisher
Springer Science and Business Media LLC
Subject
Multidisciplinary
Link
http://link.springer.com/content/pdf/10.1007/BF02719778.pdf
Reference19 articles.
1. Bhatt A G, Karandikar R L 1999 Characterization of the optimal filter: The non-Markov case.Stochastics Stoch. Rep. 66: 177–204
2. Bhatt A G, Karandikar R L 2003 On filtering with Ornstein-Ulhenbeck process as noise.J. Indian Stat. Assoc. 41: 205–220
3. Bhatt A G, Kallianpur G, Karandikar R L 1995 Uniqueness and robustness of solution of measure valued equations of nonlinear filtering.Ann. Probab. 23: 1895–1938
4. Lecture notes in pure and applied mathematics;A G Bhatt,2004
5. Elliott R J 1982Stochastic calculus and applications (New York: Springer)
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