The Kalman filter on stochastic time scales

DOI10.1016/J.NAHS.2019.02.008MaRDI QIDQ2283233zbMATH OpenOpenAlexFDO

Authors Dylan Poulsen, Nick Wintz

Publication date 30 December 2019

Published in Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.nahs.2019.02.008

zbMATH Keywords

discretizationKalman filtertime scaleRiccati equationdynamic equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Control/observation systems governed by ordinary differential equations (93C15) Time-scale analysis and singular perturbations in control/observation systems (93C70)

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Cited in

(19)

• Memoryless properties on time scales
• A Kalman filtering technique for certain Markov chains
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• Asymptotic distribution theory for the kalman filter state estimator
• The Kalman filter for linear systems on time scales
• Continuous‐time Kalman filtering on the orthogonal group O(n)
• Bilinear state systems on an unbounded time scale
• scientific article; zbMATH DE number 5631894 (Why is no real title available?)
• Characterization of Exponential Divergence of the Kalman Filter for Time-Varying Systems
• Kalman filtering of a space-time Markov random field
• Parameter identification for vector dynamic equations on arbitrary time scales
• Predictability and unpredictability in Kalman filtering
• A mapping result between Wiener theory and Kalman filtering for nonstationary processes
• scientific article; zbMATH DE number 1183256 (Why is no real title available?)
• An ergodic approach to Laplace transforms on time scales
• scientific article; zbMATH DE number 3850186 (Why is no real title available?)
• The location of the continuous-time stationary Kalman filter poles

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