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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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