Abstract
The conditional distribution of the signal π = {π t , t ≥ 0} is a solution of the Kushner–Stratonovich equation, whilst its unnormalised version ρ = {ρ t , t ≥ 0} solves the Zakai equation.
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© 2009 Springer Science+Business Media, LLC
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Bain, A., Crisan, D. (2009). Uniqueness of the Solution to the Zakai and the Kushner–Stratonovich Equations. In: Fundamentals of Stochastic Filtering. Stochastic Modelling and Applied Probability, vol 60. Springer, New York, NY. https://doi.org/10.1007/978-0-387-76896-0_4
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DOI: https://doi.org/10.1007/978-0-387-76896-0_4
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-76895-3
Online ISBN: 978-0-387-76896-0
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