Derives Kushner-Stratonovich and Zakai equations for nonlinear filtering with predictable discontinuities in both signal and observations.
(2022), ‘Deep dynamic modeling with just two time points: Can we still allow for individual trajectories?’,Biometrical Journal64(8), 1426–1445
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Nonlinear filtering with stochastic discontinuities
Derives Kushner-Stratonovich and Zakai equations for nonlinear filtering with predictable discontinuities in both signal and observations.