Abstract
In this note, we consider the explicit solution of Duncan-Mortensen-Zakai (DMZ) equation for the finite-dimensional filtering system. We show that Yau's (1990, 1994) filtering system (/spl delta/f/sub j///spl delta/x/sub i/)-(/spl delta/f/sub i///spl delta/x/sub i/)=c/sub ij/=constant for all (i,j) can be solved explicitly with an arbitrary initial condition by solving a system of ordinary differential equations and a Kolmogorov-type equation. Let n be the dimension of state space. We show that we need only n sufficient statistics in order to solve the DMZ equation.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
