The explicit solution of the unnormalized conditional probability equation of a one-dimensional linear system

DOI10.1016/0167-6911(83)90033-6MaRDI QIDQ1839232zbMATH OpenOpenAlexFDO

Authors Xi-Ren Cao

Publication date 1983

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(83)90033-6

zbMATH Keywords

Kalman filterexplicit solutionexponential of operatorsunnormalized conditional density function

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10) Structure theory for Lie algebras and superalgebras (17B05)

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• On Global Representations of the Solutions of Linear Differential Equations as a Product of Exponentials
• On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• Stochastic processes and filtering theory

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