A 1-Dimensional Nonlinear Filtering Problem

作者:Li Guang Yu*; Wang Ke
来源:Acta Mathematica Sinica-English Series, 2010, 26(3): 555-560.
DOI:10.1007/s10114-010-7526-8

摘要

We will concentrate on a 1-dimensional nonlinear filtering problem, which allows an explicit solution in terms of a stochastic differential equation for (X) over cap (t).

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