Robust filtering: Correlated noise and multidimensional observation

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...

Полное описание

Библиографические подробности
Главные авторы:	Crisan, D, Diehl, J, Friz, P, Oberhauser, H
Формат:	Journal article
Опубликовано:	Institute of Mathematical Statistics 2013

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