A General Bayes Rule and Its Application to Nonlinear Estimation.

摘要

This paper consists of two main results, a general Bayes rule, and a general Bucy representation theorem. The general Bayes rule is a natural generalization of the elementary Bayes rule: P(A/B)/P(A)=P(B/A)/P(B). The general Bucy representation theorem plays a central role in nonlinear estimation theory as does the Bucy theorem in nonlinear filtering. A simple and direct proof of the general Bucy representation theorem is obtained by the application of the general Bayes rule. (Author)