We consider the filtering problem for partially observable stochastic processes (Xn; Yn), solutions to systems of stochastic dierence equations. In the first part of the paper we present a simple constructive method to obtain finite dimensional filters in discrete time. Then, applying some well-known results, mainly on the product of independent positive random vari- ables, we shall present new finite dimensional filters and interpret some known results in a more general setting.
Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noise.
FERRANTE, MARCO;
1998
Abstract
We consider the filtering problem for partially observable stochastic processes (Xn; Yn), solutions to systems of stochastic dierence equations. In the first part of the paper we present a simple constructive method to obtain finite dimensional filters in discrete time. Then, applying some well-known results, mainly on the product of independent positive random vari- ables, we shall present new finite dimensional filters and interpret some known results in a more general setting.File in questo prodotto:
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