We consider the Duncan-Mortensen-Zakai (DMZ) equation for the Kalman-Bucy filtering system and Benes filtering system. We show that this equation can be solved explicitly with an arbitrary initial condition by solving a system of ordinary differential equations and a Kolmogorov-type equation, Let n be the dimension of state space. We show that we need only n sufficient statistics in order to solve the DMZ equation.
Finite-dimensional filters with nonlinear drift. III: Duncan-Mortensen-Zakai equation with arbitrary initial condition for the linear filtering system and the Benes filtering system
IEEE Transactions on Aerospace and Electronic Systems ; 33 , 4 ; 1277-1294
01.10.1997
1320721 byte
Aufsatz (Zeitschrift)
Elektronische Ressource
Englisch
V: Solution to Kolmogorov Equation Arising From Linear Filtering with Non-Gaussian Initial Condition
Online Contents | 1997
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