Conditionally Gaussian processes
Part of the Applications of Mathematics book series (SMAP, volume 6)
Let (θ ξ), = (θ t ξ t ), 0 ≤t ≤ T, be a random process with unobservable first component and observable second component.
KeywordsRandom Process Gaussian Process Conditional Distribution Wiener Process Continuous Solution
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Notes and references
- Liptser R. S., On filtering and extrapolation of the components of diffusion type Markov processes. Teoria Verojatn. i Primenen. XII, 4 (1967), 764–765.Google Scholar
- Liptser R. S., Shiryayev A. N., Nonlinear filtering of diffusion type Markov processes. Trudy matem. in-ta im. V. A. Steklova AN SSSR 104 (1968), 135–180.Google Scholar
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