A 1-dimensional nonlinear filtering problem

Authors
Li, Guang Yu Wang, Ke
Citation
Li, Guang Yu et Wang, Ke, A 1-dimensional nonlinear filtering problem, Acta mathematica Sinica. English series (Print) , 26(3), 2010, pp. 555-560
Journal title
Acta mathematica Sinica. English series (Print) → ACNP
ISSN journal
14398516
Volume
26
Issue
3
Year of publication
2010
Pages
555 - 560
Database
ACNP
SICI code
Abstract
We will concentrate on a 1-dimensional nonlinear filtering problem, which allows an explicit solution in terms of a stochastic differential equation for X^t.