The Kalman-Bucy filter for linear stochastic dynamic systems with discontinuous trajectories

DOI10.1023/A:1024739206442MaRDI QIDQ2487880zbMATH OpenOpenAlexFDO

Authors V. Yu. Bereza, V. K. Yasins'kyj

Publication date 12 August 2005

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1024739206442

zbMATH Keywords

Ito-Skorokhod equationslinear filteringstochastic differential equationsstochastic process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Filtering in stochastic control theory (93E11)

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Cited in

(8)

• Asymptotic equivalence of solutions of nonlinear It ô stochastic systems
• Linear Kalman-Bucy filter with vector autoregressive signal and noise
• Linear Kalman-Bucy filter with autoregressive signal and noise
• Optimal control of stochastic dynamic systems with past history and Poisson switchings
• The Kalman-Bucy filter for integrable Lévy processes with infinite second moment
• Stochastic Feedback Based Kalman Filter for Nonlinear Continuous-Discrete Systems
• Kalman Filter for Discrete-Time Stochastic Linear Systems Subject to Intermittent Unknown Inputs
• A maximum-likelihood Kalman filter for switching discrete-time linear systems

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