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The Zakai equation is a linear recursive filtering equation for the un-normalized density of a hidden state. In contrast, the Kushner equation gives a non-linear recursive equation for the normalized density of the hidden state.
See also
References
- Zakai, M. (1969), On the optimal filtering of diffusion processes. Zeit. Wahrsch. 11 230–243. MR242552 Zbl 0164.19201 DOI 10.1007/BF00536382
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