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The filter $Z = ( Z_t , t ¡Ê [0,T]) $satisfies the stochastic integral equation
and the error matrix P(t, s) is the unique solution to the following matrix Riccati-type integralequation such that P(t, t) is symmetric and nonnegative definite for 0 ¡Ü t ¡Ü T


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The filter $Z = ( Z_t , t ¡Ê [0,T]) $satisfies the stochastic integral equation
and the error matrix P(t, s) is the unique solution to the following matrix Riccati-type integralequation such that P(t, t) is symmetric and nonnegative definite for 0 ¡Ü t ¡Ü T

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