Nonlinear Filtering and Smoothing by Venkatarama Krishnan

Author:Venkatarama Krishnan
Language: eng
Format: epub, azw3
Publisher: Dover Publications, Inc.

where δts is the Kronecker delta. As a result of proposition 5.2.1, the white noise integral of the type g(t) Xt dt, even though it does not exist in either the Riemann sense or the Lebesgue-Stieltjes sense, can still be formally manipulated as g(t) dZt, yielding the function X(g) which has bounded properties. This formal manipulation holds for g being a function of time only. In a later chapter we extend the concept of a stochastic integral to g being a function of ω also.

For a standard white noise process σ2 = 1.

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