Filtering of Gaussian processes in Hilbert spaces
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DOI: 10.1142/s0219493720500203
Abstract: Linear filtering problem for infinite-dimensional Gaussian processes is studied, the observation process being finite-dimensional. Integral equations for the filter and for covariance of the error are derived. General results are applied to linear SPDEs driven… read more here.
Keywords: hilbert spaces; processes hilbert; gaussian processes; filtering gaussian ... See more keywords