Derives Kushner-Stratonovich and Zakai equations for nonlinear filtering with predictable discontinuities in both signal and observations.
(1972), ‘On stochastic equations for nonlinear filtering problem of stochastic processes’,Lithuanian Mathematical Journal12(4), 37–51
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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.