A conditionally almost linear filtering problem with non-gaussian initial condition∗
- 1 February 1988
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 23 (2) , 241-275
- https://doi.org/10.1080/17442508808833492
Abstract
We derive a formula for computing explicitly the optimal non-linear filter for a class of problems which admit finite dimensional filters. The result includes all known results of this kind as special casesKeywords
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