arXiv:0904.2888 Abstract | arXiv Analytics

arXiv:0904.2888 [math.PR]Abstract References Reviews Resources

The Optimal Filtering of Markov Jump Processes in Additive White Noise

Published 2009-04-19Version 1

This note is based on Wonham \cite{Wonham}. The differences between this note and [Wonham] are discussed in Section VIII.

Comments: This is a latex copy of a 1965 report that was not submitted for publication, but refered to in the author's later paper "On the Optimal Filtering of Diffusion Processes", Z. Wahr. verw. Geb. 11, 230-243 (1969). The report was misplaced and copies were unavailable, until it resurfaced recently

Categories: math.PR

Subjects: 60G35, 93E11

Keywords: markov jump processes, additive white noise, optimal filtering, section viii, differences

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