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.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/126961
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