Conditionally Gaussian processes

  • R. S. Liptser
  • A. N. Shiryayev
Part of the Applications of Mathematics book series (SMAP, volume 6)


Let (θ ξ), = (θ t ξ t ), 0 ≤tT, be a random process with unobservable first component and observable second component.


Random Process Gaussian Process Conditional Distribution Wiener Process Continuous Solution 
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Notes and references

  1. [108]
    Liptser R. S., On filtering and extrapolation of the components of diffusion type Markov processes. Teoria Verojatn. i Primenen. XII, 4 (1967), 764–765.Google Scholar
  2. [111]
    Liptser R. S., Shiryayev A. N., Nonlinear filtering of diffusion type Markov processes. Trudy matem. in-ta im. V. A. Steklova AN SSSR 104 (1968), 135–180.Google Scholar

Copyright information

© Springer Science+Business Media New York 1978

Authors and Affiliations

  • R. S. Liptser
    • 1
  • A. N. Shiryayev
    • 2
  1. 1.Institute for Problems of Control TheoryMoscowUSSR
  2. 2.Institute of Control SciencesMoscowUSSR

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