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Showing 1 results for filtering
Dr. Mehdi Shams, Dr. Gholamreza Hesamian,
Volume 24, Issue 1 (9-2019)
Abstract
In this paper after introduce Ito integral we discuss filtering problem. In filtering problem there are two stochastic differential equations (system and observation) that given the observations we must find the best estimate for the random process of the system based on these observations. At last we give some useful examples.
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