Abstract
In this paper, we shall develop the linear causal analysis for the system consisting of two flows in a real inner product space and give an algorithm for calculating the non-linear filter for a discrete stochastic system which is given by two discrete time stochastic processes, to be called a signal process and an observation process, based upon the theory of -Langevin equations.
Citation
Masaya MATSUURA. Yasunori OKABE. "On non-linear filtering problems for discrete time stochastic processes." J. Math. Soc. Japan 57 (4) 1067 - 1076, October, 2005. https://doi.org/10.2969/jmsj/1150287304
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