Abstract
In Section 3.5 we analyzed the case when X is a Markov process with finite state space I and associated Q-matrix Q (see Exercise 3.27).
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© 2009 Springer Science+Business Media, LLC
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Bain, A., Crisan, D. (2009). Finite-Dimensional Filters. In: Fundamentals of Stochastic Filtering. Stochastic Modelling and Applied Probability, vol 60. Springer, New York, NY. https://doi.org/10.1007/978-0-387-76896-0_6
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DOI: https://doi.org/10.1007/978-0-387-76896-0_6
Publisher Name: Springer, New York, NY
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