Stochastic modelling with randomized Markov bridges
Stochastic modelling with randomized Markov bridges
We consider the filtering problem of estimating a hidden random variable X by noisy observations. The noisy observation process is constructed by a randomized Markov bridge (RMB) (Zt)t∈[0,T] of which terminal value is set to ZT=X. That is, at the terminal time T, the noise of the bridge process vanishes …