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A Bayes formula for nonlinear filtering with Gaussian and Cox noise
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نویسنده
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mandrekar v. ,meyer-brandis t. ,proske f.
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منبع
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journal of probability and statistics - 2011 - شماره : 0
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چکیده
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A bayes-type formula is derived for the nonlinear 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-known 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. copyright © 2011 vidyadhar mandrekar et al.
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آدرس
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department of statistics and probability,michigan state university,east lansing, United States, department of mathematics,university of munich,theresienstrasse 39, Germany, center of mathematics for applications,university of oslo,p.o. box 1053,blindern, Norway
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Authors
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