Abstract
The filtering problem, on which the signal process and observation pro- cess are both diffusions in dual of nuclear Frechet space, is consid- ered. Martingale representation theorem and Girsanov's theorem in such space are proved. The innovation process is discussed. The fil- tering equation for the best estimate of signal process on observation process, is established by the innovation approach. Mathematics Subject Classifications: 60H20, 60H30, 65H99
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