Finite dimensional optimal filters for a class of ltô- processes with jumping parameters

1 January 1980

journal article
research article
Published by Taylor & Francis in Stochastics

Vol. 4 (2) , 167-183
https://doi.org/10.1080/17442508008833160

Abstract

We consider a finite state Markov process θ, feeding the coefficients of a linear Itô-equation with state ξ. The θ-process is observed in white noise, and it is shown that the optimal nonlinear filter for ξ, is of finite dimension. We also derive finite dimensional equations for optimal prediction and smoothing.

Keywords

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