Finite-Dimensional Filters

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


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).


Conditional Distribution Multivariate Normal Distribution Local Martingale Dimensional Brownian Motion Zakai Equation 


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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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