The continuous kalman filter as the limit of the discrete kalman filter

DOI10.1080/07362999908809638MaRDI QIDQ4702159zbMATH OpenOpenAlexFDO

Authors Scott Shald

Publication date 18 May 2000

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999908809638

zbMATH Keywords

discretizationapproximationdiscrete filterscontinuous Kalman filtercontinuous filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites work

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Cited in

(4)

• Convergence of discrete-time Kalman filter estimate to continuous time estimate
• Convergence of discrete-time Kalman filter estimate to continuous-time estimate for systems with unbounded observation
• On the continuous time limit of the ensemble Kalman filter
• The location of the continuous-time stationary Kalman filter poles

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