The Optimal Filtering of Markov Jump Processes in Additive White Noise

Details The Optimal Filtering of Markov Jump Processes in Additive White Noise The Optimal Filtering of Markov Jump Processes in Additive White Noise

2009-04-19

arxiv.org/abs/0904.2888v1

Mathematics

Probability

This is a latex copy of a 1965 report that was not submitted for publication, but refered to in the author's later paper "On t

Scientific paper

This note is based on Wonham \cite{Wonham}. The differences between this note
and [Wonham] are discussed in Section VIII.

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