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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 ¹ýÂËÆ÷Âú×ãËæ»ú»ý·Ö·½³Ì£¬Îó²î¾ØÕó P(t, s) ÊǽÓÏÂÀ´µÄRiccati-type»ý·Ö·½³Ì¾ØÕóµÄΨһ½â£¬Ê¹µÃP(t, t)ÊǶԳƾØÕóºÍÔÚ0¡Ü t ¡Ü TÖ®¼äÊǷǸºµÄ¡£ |
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