On Filtering with Ornstein-Uhlenbeck Process as Noise

@inproceedings{Bhatt2003OnFW,
  title={On Filtering with Ornstein-Uhlenbeck Process as Noise},
  author={A. G. Bhatt},
  year={2003}
}
We consider the nonlinear filtering model with Ornstein-Uhlenbeck process as noise and obtain an analogue of the Bayes’ formula for the filter. For this we need to consider a modified model, where the instaneteneous effect h(Xt) of the signal in the usual model is replaced by ξ t = α ∫ t (t− 1 α )∨0 h(Xu) du, (where α is a large parameter). This means that there is a lingering effect of the signal for a time period 1 α . Further, we also show the filter with Ornstein-Uhlenbeck converges to the… CONTINUE READING

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