The Optimal Filtering of Markov Jump Processes in Additive White Noise
Probability
2009-04-21 v1
Abstract
This note is based on Wonham \cite{Wonham}. The differences between this note and [Wonham] are discussed in Section VIII.
Keywords
Cite
@article{arxiv.0904.2888,
title = {The Optimal Filtering of Markov Jump Processes in Additive White Noise},
author = {M. Zakai},
journal= {arXiv preprint arXiv:0904.2888},
year = {2009}
}
Comments
This is a latex copy of a 1965 report that was not submitted for publication, but refered to in the author's later paper "On the Optimal Filtering of Diffusion Processes", Z. Wahr. verw. Geb. 11, 230-243 (1969). The report was misplaced and copies were unavailable, until it resurfaced recently