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Finite-Dimensional Filters

  • Alan Bain
  • Dan Crisan
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 60)

Abstract

In Section 3.5 we analyzed the case when X is a Markov process with finite state space I and associated Q-matrix Q (see Exercise 3.27).

Keywords

Conditional Distribution Multivariate Normal Distribution Local Martingale Dimensional Brownian Motion Zakai Equation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  • Alan Bain
    • 1
  • Dan Crisan
    • 2
  1. 1.BNP Paribas 10 Harewood AvLondonUnited Kingdom
  2. 2.Department of MathematicsImperial College London 180 Queen’s GateLondonUnited Kingdom

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