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On filtering over Îto-Volterra observations

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  • Michael V. Basin

Abstract

In this paper, the Kalman-Bucy filter is designed for an Îto-Volterra process over Ito-Volterra observations that cannot be reduced to the case of a differential observation equation. The Kalman-Bucy filter is then designed for an Ito-Volterra process over discontinuous Ito-Volterra observations. Based on the obtained results, the filtering problem over discrete observations with delays is solved. Proofs of the theorems substantiating the filtering algorithms are given.

Suggested Citation

  • Michael V. Basin, 2000. "On filtering over Îto-Volterra observations," International Journal of Stochastic Analysis, Hindawi, vol. 13, pages 1-18, January.
    • Handle: RePEc:hin:jnijsa:525648
    DOI: 10.1155/S1048953300000319
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