Approximation of optimal filter for Ornstein-Uhlenbeck process with quantised discrete-time observation

Piotr Bania, Jerzy Baranowski. Approximation of optimal filter for Ornstein-Uhlenbeck process with quantised discrete-time observation. Int. J. Control, 91(2):411-419, 2018. [doi]

Authors

Piotr Bania

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Jerzy Baranowski

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