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The public prosecutor's office confirmed a woman's body had been discovered in a park in Steinsel in the last week of October.
According to Luxembourgish newspaper the Luxemburger Wort, the woman's identity and the circumstances surrounding her death are yet to be confirmed.
An autopsy has been ordered to clarify the situation. It is thought there was no foul play involved.
Initial reports suggest the woman may have been dead for some time. It is feasible that the discovery could be linked to a long-running missing persons case.
At this point in time there are no further details.