An improved log-likelihood gradient for continuous-time stochastic systems with deterministic input

DOI10.1109/9.533686MaRDI QIDQ4896792zbMATH OpenOpenAlexFDO

Authors Robert P. Leland

Publication date 3 December 1996

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.533686

zbMATH Keywords

Kalman filterRadon-Nikodym derivativecovariance operatorsmootherHamiltonian form

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Identification in stochastic control theory (93E12)

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