The Filtering Problem
Part of the Universitext book series (UTX)
Problem 3 in the introduction is a special case of the following general filtering problem:
KeywordsBrownian Motion Stochastic Differential Equation Innovation Process Riccati Equation Noisy Observation
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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© Springer-Verlag Berlin Heidelberg 1995