| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4643106 | Journal of Computational and Applied Mathematics | 2006 | 10 Pages |
Abstract
The paper treats the nonlinear filtering problem for jump-diffusion processes. The optimal filter is derived for a stochastic system where the dynamics of the signal variable is described by a jump-diffusion equation. The optimal filter is described by stochastic integral equations.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Darja Rupnik Poklukar,