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On extending classical filtering equations.
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- Author(s) / Creator(s)
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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.
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- Date created
- 2008
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- Subjects / Keywords
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- Type of Item
- Article (Published)
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- License
- © 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.