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Reproducing Kernel Hilbert Space and Stochastic Processes
| Content Provider | Semantic Scholar |
|---|---|
| Author | Meyer-Brandis, Thilo |
| Copyright Year | 2011 |
| Abstract | A Bayes type formula is derived for the non-linear filter where the observation contains both general Gaussian noise as well as Cox noise whose jump intensity depends on the signal. This formula extends the well know Kallianpur-Striebel formula in the classical non-linear filter setting. We also discuss Zakai type equations for both the unnormalized conditional distribution as well as unnormalized conditional density in case the signal is a Markovian jump diffusion. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://www.fm.mathematik.uni-muenchen.de/download/publications/bayesjumps_rev.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |