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Ukrainian Mathematical Journal

, Volume 46, Issue 8, pp 1063–1069 | Cite as

Equations of optimal nonlinear filtration and interpolation for partially observed Markov processes

  • O. A. Voina
  • M. V. -S. Sidorov
Article
  • 19 Downloads

Abstract

Recurrence relations are obtained for problems of optimal filtration and interpolation of partially observed discrete Markov chains. We present the system of differential equations for problems of optimal nonlinear filtration for Markov processes with continuous time and the system of inverse differential equations for problems of optimal nonlinear interpolation.

Keywords

Differential Equation Markov Chain Markov Process Continuous Time Recurrence Relation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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Copyright information

© Plenum Publishing Corporation 1995

Authors and Affiliations

  • O. A. Voina
    • 1
  • M. V. -S. Sidorov
    • 1
  1. 1.Kiev UniversityKiev

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