Question: Question 6.13 from Statistical Differential Equations by Oksendal 6.13. Consider the 1-dimensional linear filtering problem (6.2.3), (6.2.4). Find E[X,] and E[(X.) ]. Hint: Use Theorem

Question 6.13 from Statistical Differential Equations by Oksendal

6.13. Consider the 1-dimensional linear filtering problem (6.2.3), (6.2.4). Find E[X,] and E[(X.) ]. Hint: Use Theorem 6.1.2 and use the definition of the mean square error S(t).)

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