Teoriâ veroâtnostej i ee primeneniâ, Tome 11 (1966) no. 3, pp. 528-533
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R. Sh. Liptser. Comparison of linear and nonlinear filtration of some Markov processes. Teoriâ veroâtnostej i ee primeneniâ, Tome 11 (1966) no. 3, pp. 528-533. http://geodesic.mathdoc.fr/item/TVP_1966_11_3_a14/
@article{TVP_1966_11_3_a14,
author = {R. Sh. Liptser},
title = {Comparison of linear and nonlinear filtration of some {Markov} processes},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {528--533},
year = {1966},
volume = {11},
number = {3},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1966_11_3_a14/}
}
TY - JOUR
AU - R. Sh. Liptser
TI - Comparison of linear and nonlinear filtration of some Markov processes
JO - Teoriâ veroâtnostej i ee primeneniâ
PY - 1966
SP - 528
EP - 533
VL - 11
IS - 3
UR - http://geodesic.mathdoc.fr/item/TVP_1966_11_3_a14/
LA - ru
ID - TVP_1966_11_3_a14
ER -
%0 Journal Article
%A R. Sh. Liptser
%T Comparison of linear and nonlinear filtration of some Markov processes
%J Teoriâ veroâtnostej i ee primeneniâ
%D 1966
%P 528-533
%V 11
%N 3
%U http://geodesic.mathdoc.fr/item/TVP_1966_11_3_a14/
%G ru
%F TVP_1966_11_3_a14
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.
