The Optimal Filtering of Markov Jump Processes in Additive White Noise

Abstract

This note is based on Wonham \cite{Wonham}. The differences between this note and [Wonham] are discussed in Section VIII.

This is a latex copy of a 1965 report that was not submitted for publication, but refered to in the author's later paper "On the Optimal Filtering of Diffusion Processes", Z. Wahr. verw. Geb. 11, 230-243 (1969). The report was misplaced and copies were unavailable, until it resurfaced recently