On some Filtration Procedure for Jump Markov Process Observed in White Gaussian Noise

Other literature type English OPEN
Khas'minskii, Rafail Z.; Lazareva, Betty V.;

The importance of optimal filtration problem for Markov chain with two states observed in Gaussian white noise (GWN) for a lot of concrete technical problems is well known. The equation for a posterior probability $\pi(t)$ of one of the states was obtained many years ag... View more
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