Nonlinear smoothing algorithms using white noise model
作者:
Arunabha Bagchi,
期刊:
Stochastics
(Taylor Available online 1986)
卷期:
Volume 17,
issue 4
页码: 289-312
ISSN:0090-9491
年代: 1986
DOI:10.1080/17442508608833394
出版商: Gordon and Breach, Science Publishers, Inc
关键词: Smoothing;white noise;nonlinear filtering;Gauss measures
数据来源: Taylor
摘要:
Nonlinear smoothing algorithms are studied where the white noise disturbance in the observation is treated directly, instead of the usual modelling through its integrated version of Brownian motion. This framework yields results already in the robust form. Furthermore, the Itô integrals involving the observations do not appear in this approach, thereby eliminating complications arising out of considering backward Itô integrals in the smoothing problems.
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