Abstract
We consider the nonlinear filtering problem where the observation noise process is n-ple Markov Gaussian. A Kallianpur–Striebel type Bayes formula for the optimal filter is obtained.
Original language | English |
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Pages (from-to) | 245-252 |
Number of pages | 245 |
Journal | Acta Applicandae Mathematicae |
Volume | 63 |
Issue number | 1-3 |
DOIs | |
Publication status | Published - 2000 |