Mathematics of Kalman-Bucy filtering
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Publication:762126
zbMath0556.93067MaRDI QIDQ762126
Publication date: 1985
Published in: Springer Series in Information Sciences (Search for Journal in Brave)
integral representation; Riccati equation; continuous-time Kalman-Bucy filtering; Wiener- Hopf equation
62M20: Inference from stochastic processes and prediction
93E11: Filtering in stochastic control theory
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G35: Signal detection and filtering (aspects of stochastic processes)
93C99: Model systems in control theory
93-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory
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