Robust filtering: Correlated noise and multidimensional observation
In the late seventies, Clark [In Communication Systems and Random Process Theory (Proc. 2nd NATO Advanced Study Inst., Darlington, 1977) (1978) 721–734, Sijthoff and Noordhoff] pointed out that it would be natural for πt, the solution of the stochastic filtering problem, to depend continuously on th...
| Main Authors: | , , , |
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| Format: | Journal article |
| Published: |
Institute of Mathematical Statistics
2013
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