A Martingale Approach to Linear Recursive State Estimation

DOI10.1137/0310056MaRDI QIDQ5665086zbMATH OpenOpenAlexFDO

Authors A. V. Balakrishnan

Publication date 1972

Published in SIAM Journal on Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0310056

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10)

Cited in

(5)

• The Kalman-Bucy method of optimal filtering and its generalizations
• A new martingale approach to Kalman filtering
• A martingale approach to state estimation in delay-differential systems
• Repr�sentation de martingales vectorielles de carr� int�grable � valeurs dans des espaces de Hilbert r�els s�parables
• Martingales and their application to optimal state estimation

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