scientific article; zbMATH DE number 6103321

MaRDI QIDQ4647932zbMATH OpenFDO

Authors

Publication date 8 November 2012

zbMATH Keywords

Kalman filterstochastic differential equationsconditional densitydecay estimateKalman-Bucy filterstochastic partial differential equationorthogonal matrixnoisy measurementsfinite-dimensional filterfinite-dimensional recursive filtersunnormalized conditional probability densitystate processGaussian initial distributionsmooth vector-valued functionsstandard Wiener processesunknown \(\mathbb{R}^n\)-valued signal

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) History of systems and control theory (93-03)

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Cited in

(5)

• Log-Concave Posterior Densities Arising in Continuous Filtering and a Maximum A Posteriori Algorithm
• Direct method for Yau filtering system with nonlinear observations
• A survey of direct methods for Yau filtering systems
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