We give an approximation for optimal filtering estimates of diffusion type signal and observation under contamination affecting their drifts. The method of analysis is based on the averaging principle and convergence in the total variation for distributions of signal and observation. 2 1. Introduction. Formulation of main result. There are only a few… (More)
We consider the necessary and sufficient conditions for a group of the components of a stationary vector Gaussian Markov process to possess a Markov property. The representation by a linear Itô stochastic differential equation is also given.