Filtering for a logistic equation (Q804082)

This is a short tutorial article on the topic of filtering for dynamic processes. It starts off by a brief derivation of the continuous-time Kalman filter, illustrated by a scalar example, and then goes into the derivation of the filtering equations for nonlinear systems. In case context both normalized and unnormalized (Zakai) filter equations are introduced, and the theory is illustrated by a scalar system described by a logistic-type equation, with small noise.