Note on a stochastic integral equation
Norihiko Kazamaki (1972)
Séminaire de probabilités de Strasbourg
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Norihiko Kazamaki (1972)
Séminaire de probabilités de Strasbourg
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Annie Millet, Marta Sanz-Solé (1994)
Séminaire de probabilités de Strasbourg
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Krystyna Twardowska, Tomasz Marnik, Monika Pasławska-Południak (2003)
International Journal of Applied Mathematics and Computer Science
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A nonlinear filtering problem with delays in the state and observation equations is considered. The unnormalized conditional probability density of the filtered diffusion process satisfies the so-called Zakai equation and solves the nonlinear filtering problem. We examine the solution of the Zakai equation using an approximation result. Our theoretical deliberations are illustrated by a numerical example.
Martin T. Barlow, Edwin A. Perkins (1990)
Séminaire de probabilités de Strasbourg
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Briand, Philippe, Delyon, Bernard, Mémin, Jean (2001)
Electronic Communications in Probability [electronic only]
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Séminaire de probabilités de Strasbourg
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Colloquium Mathematicae
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Journal of Applied Mathematics and Stochastic Analysis
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Journal of Applied Mathematics and Stochastic Analysis
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