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Teor. Veroyatnost. i Primenen., 1966, Volume 11, Issue 3, Pages 528–533 (Mi tvp651)  

Short Communications

Comparison of linear and nonlinear filtration of some Markov processes

R. Sh. Liptser

Moscow

Abstract: Let ($\theta_t,\eta_t$) be a two-dimensional Markov process where $\theta_t$ is a homogeneous Markov process with two states and $\eta_t$ satisfies equation (1).
We solve the problem of filtration (linear and nonlinear) of the process $\theta_t$ under the condition that it is possible to observe $\eta_t$. The results of comparison of the linear and nonlinear filtration are given.

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English version:
Theory of Probability and its Applications, 1966, 11:3, 467–472

Bibliographic databases:

Received: 20.11.1965

Citation: R. Sh. Liptser, “Comparison of linear and nonlinear filtration of some Markov processes”, Teor. Veroyatnost. i Primenen., 11:3 (1966), 528–533; Theory Probab. Appl., 11:3 (1966), 467–472

Citation in format AMSBIB
\Bibitem{Lip66}
\by R.~Sh.~Liptser
\paper Comparison of linear and nonlinear filtration of some Markov processes
\jour Teor. Veroyatnost. i Primenen.
\yr 1966
\vol 11
\issue 3
\pages 528--533
\mathnet{http://mi.mathnet.ru/tvp651}
\mathscinet{http://www.ams.org/mathscinet-getitem?mr=200976}
\zmath{https://zbmath.org/?q=an:0203.18101}
\transl
\jour Theory Probab. Appl.
\yr 1966
\vol 11
\issue 3
\pages 467--472
\crossref{https://doi.org/10.1137/1111049}


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