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The purpose of this paper is to prove a filtering equation for a linear system where the (normally distributed) initial value X 0 of the signal process X t has ...
Aug 23, 2010 · Abstract. In the classical Kalman-Bucy filter and in the subsequent literature so far, it has been assumed that the initial value of the ...
Sep 13, 2010 · The purpose of this paper is to prove a filtering equation for a linear system where the (normally distributed) initial value X0 of the signal ...
The purpose of this paper is to prove a filtering equation for a linear system where the (normally distributed) initial value X0 of the signal process Xt has a ...
No 2010/8: An anticipative linear filtering equation. Knut K. Aase (knut.aase ... Keywords: Anticipative linear filter equation; enlargement of filtration; ...
"An anticipative linear filtering equation," Discussion Papers 2010/8, Norwegian School of Economics, Department of Business and Management Science. Handle ...
The purpose of this paper is to prove a filtering equation for a linear system where the (normally distributed) initial value X0 of the signal process Xt has a ...
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2 An anticipative linear filtering equation. Consider the following linear filtering system: (Signal process). dXt = 0; t ∈ [0,T],. (2.1). (Observation process) ...
Aug 31, 2010 · By Knut Aase, Terje Bjuland and Bernt Øksendal; Abstract: In the classical Kalman-Bucy filter and in the subsequent literature so far, ...
An anticipative linear filtering equation. Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt. Research report. View/Open. 13-10.pdf (145.9Kb). Year. 2010 ...