AN INFINITE EXPANSION FOR NONLINEAR FILTERING

[摘要] An abstract filtering equation is derived for a partially observed system. An infinite series expansion is obtained for the best mean square estimate in terms of the iterated Ito integrals with respect to the innovation process.

[发布日期] 1994-07-01

[关键词] FILTERING PROBLEM;PREDICTABLE PROCESS;SEMIMARTINGALE;ITO STOCHASTIC INTEGRAL;ITO FORMULA;INNOVATION PROCESS