Estimation of parameters for Hilbert space-valued partially observable stochastic processes
نویسندگان
چکیده
منابع مشابه
Zakai Equations for Hilbert Space Valued Processes*
versity A state process is described by either a discrete time Hilbert space valued process, or a stochastic differential equation in Hilbert space. The state is observed through a finite dimensional process. Using a change of measure and a Fusive theorem the Zakai equation is obtained in discrete or continuous time. A risk sensitive state estimate is also defined.
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 1986
ISSN: 0047-259X
DOI: 10.1016/0047-259x(86)90026-6