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By M. Zakai


processes in additive white noise. This note is based on Wonham [1]. The differences between this note and [1] are discussed in Section VIII. I. Statement of the Problem. Let x(t) be Markov jump process with stationary transition probabilities and with a finite number of states. Let a1,a2,...,aK be the states, let pij(h) be the transition probabilitie

Year: 1965
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