0. 1 Introduction Although the general optimal solution of the ?ltering problem for nonlinear state and observation equations confused with white Gaussian noises is given by the Kushner equation for the conditional density of an unobserved state with respect to obser- tions (see 48] or 41], Theorem 6. 5, formula (6. 79) or 70], Subsection 5. 10. 5, formula (5. 10. 23)), there are a very few known examples of nonlinear systems where the Ku- ner equation can be reduced to a ?nite-dimensional closed system of ?ltering eq- tions for a certain number of lower conditional moments. The most...
0. 1 Introduction Although the general optimal solution of the ?ltering problem for nonlinear state and observation equations confused with white Gaus...
