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Well-posedness of Filtering Equations in Weighted Sobolev Spaces with Unbounded System Coefficients
Nonlinear filtering problem is one of the core subjects in modern control theory. In this paper, we will study the well-posedness of the three fundamental evolution equations arising in continuous-time nonlinear filtering--the robust Duncan-Mortensen-Zakai (DMZ) equation, the stochastic DMZ equation
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