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The invariane group of the Zakai equation

โœ Scribed by Omar Hijab


Book ID
104300812
Publisher
Elsevier Science
Year
1981
Tongue
English
Weight
159 KB
Volume
1
Category
Article
ISSN
0167-6911

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A discrete time filter is considered where both the observation and signal process have non-linear dynamics with additive Gaussian noise. Using the reference probability framework a convolution type Zakai equation is obtained which updates the unnormalized conditional density. Using first order appr