Journal of Applied Mathematics and Stochastic Analysis
Volume 13 (2000), Issue 4, Pages 347-364
doi:10.1155/S1048953300000319
Abstract
In this paper, the Kalman-Bucy filter is designed for an Îto-Volterra process over Ito-Volterra observations that cannot be reduced to the case of a
differential observation equation. The Kalman-Bucy filter is then designed
for an Ito-Volterra process over discontinuous Ito-Volterra observations.
Based on the obtained results, the filtering problem over discrete observations with delays is solved. Proofs of the theorems substantiating the filtering algorithms are given.