Mathematics of Kalman-Bucy filtering (Q762126)

In their book the authors give a mathematically rigorous approach to continuous-time Kalman-Bucy filtering. Instead of using sophisticated notions like Itô calculus, theory of martingales or Markov processes, they base their developments on relatively simply operations in Hilbert spaces which are reviewed together with elements of probability theory in the first chapter. The mean square calculus is developed in chapter 2 and leads to the discussion of the Wiener-Lévy process. Chapter 3 treats the stochastic differential equations central to modelling the Kalman- Bucy filtering process. Chapter 4 introduces an integral representation of the Kalman-Bucy estimator from which the Wiener-Hopf equation is derived and the Riccati equation and the ordinary differential equation satisfied by the Kalman-Bucy filter are computed. The integral representation is used again in chapter 5 to show the important dependence of the filter's success from the observation noise. Together with its exercises and some hints to their solution the class- tested, clearly written text is highly recommendable as a theoretical complement for readers well versed in the techniques of Kalman-Bucy filtering.