Abstract
Abstract
In the paper we study the Zakai and Kushner–Stratonovich equations of the nonlinear filtering problem for a non-Gaussian signal-observation system. Moreover, we prove that under some general assumption, the Zakai equation has pathwise uniqueness and uniqueness in joint law, and the Kushner–Stratonovich equation is unique in joint law.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Cited by
4 articles.
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