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On extending classical filtering equations. Open Access

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Author or creator
Kouritzin, Michael
Long, H.
Additional contributors
Subject/Keyword
probability
filtering
statistics
filtering equations
Type of item
Journal Article (Published)
Language
English
Place
Time
Description
In this paper, we give a direct derivation of the Duncan–Mortensen–Zakai filtering equation, without assuming right continuity of the signal, nor its filtration, and without the usual finite energy condition. As a consequence, the Fujisaki–Kallianpur–Kunita equation is also derived. Our results can be applied to filtering problems in which the signal process has α-stable (α>1) components, and the sensor function is linear.
Date created
2008
DOI
doi:10.7939/R35X25C5W
License information
Rights
© 2008 Statistics & Probability Letters. This version of this article is open access and can be downloaded and shared. The original author(s) and source must be cited. Non-commercial use only.
Citation for previous publication
Michael A. Kouritzin, Hongwei Long, On extending classical filtering equations, Statistics & Probability Letters, Volume 78, Issue 18, 15 December 2008, Pages 3195-3202, ISSN 0167-7152,  http://dx.doi.org/10.1016/j.spl.2008.06.005
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