2002•Unpublished venueRequires access
Exact finite dimensional filters for certain exponential functionals of Gaussian state space processes
Vikram Krishnamurthy, Robert J. Elliott
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Abstract
In this paper, we derive finite dimensional filters for certain exponential functionals of the state of a continuous-time linear Gaussian process. Apart from being of mathematical interest, these new filters have applications in the state reconstruction of doubly-stochastic autoregressive processes. We also derive similar filters for exponential functionals of the state of nonlinear Benes systems.