Teoriâ veroâtnostej i ee primeneniâ, Tome 20 (1975) no. 2, pp. 292-308
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R. Sh. Liptser. Gaussian martingales and a generalization of the Kalman–Bucy filter. Teoriâ veroâtnostej i ee primeneniâ, Tome 20 (1975) no. 2, pp. 292-308. http://geodesic.mathdoc.fr/item/TVP_1975_20_2_a4/
@article{TVP_1975_20_2_a4,
author = {R. Sh. Liptser},
title = {Gaussian martingales and a~generalization of the {Kalman{\textendash}Bucy} filter},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {292--308},
year = {1975},
volume = {20},
number = {2},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1975_20_2_a4/}
}
TY - JOUR
AU - R. Sh. Liptser
TI - Gaussian martingales and a generalization of the Kalman–Bucy filter
JO - Teoriâ veroâtnostej i ee primeneniâ
PY - 1975
SP - 292
EP - 308
VL - 20
IS - 2
UR - http://geodesic.mathdoc.fr/item/TVP_1975_20_2_a4/
LA - ru
ID - TVP_1975_20_2_a4
ER -
%0 Journal Article
%A R. Sh. Liptser
%T Gaussian martingales and a generalization of the Kalman–Bucy filter
%J Teoriâ veroâtnostej i ee primeneniâ
%D 1975
%P 292-308
%V 20
%N 2
%U http://geodesic.mathdoc.fr/item/TVP_1975_20_2_a4/
%G ru
%F TVP_1975_20_2_a4
The paper gives a solution of the Kalman–Bucy filtering problem in the case when the unobserved process and the observations are determined by general Gaussian processes with independent increments.
