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General Equations of Optimal Nonlinear Filtering, Interpolation and Extrapolation of Partially Observable Random Processes

  • Robert S. Liptser
  • Albert N. Shiryaev
Chapter
  • 2.1k Downloads
Part of the Applications of Mathematics book series (SMAP, volume 5)

Abstract

Let (Ω, F, P) be a complete probability space, and let (F t ), 0 ≤ tT, be a nondecreasing family of right continuous σ-algebras of F augmented by sets from F of zero probability.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2001

Authors and Affiliations

  • Robert S. Liptser
    • 1
  • Albert N. Shiryaev
    • 2
  1. 1.Department of Electrical Engineering SystemsTel Aviv UniversityTel AvivIsrael
  2. 2.Steklov Mathematical InstituteRussian Academy of SciencesMoscowRussia

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