Numerical Simulation of Nonlinear Filtering Problem

Author:

Liu Zhen,Dong Fangfang,Ding Luwei

Publisher

Springer Berlin Heidelberg

Reference14 articles.

1. Kalman, R.E., Bucy, R.S.: New results in linear filtering and prediction theory. Trans. ASME Series D, J. Basic Engineering 83(196), 95–108

2. Kailath, T.: An innovations approach to least-squares estimation, Part I: Linear filtering in additive white noise. IEEE Transactions on Automatic Control 13, 646–655 (1986)

3. Frost, P.A., Kailath, T.: An innovations approach to least-squares estimation II. IEEE Transactions on Automatic Control 16, 217–226 (1971)

4. Fujisaki, M., Kallianpur, G., Kunita, H.: Stochastic differential equations for the nonlinear filtering problem. Osaka Journal of Mathematics 2, 19–40 (1972)

5. Brockett, R.W., Clark, J.M.C.: The geometry of the conditional density functions. In: Jacobs, O.L.R., et al. (eds.) Analysis and Optimization of Stochastic Systems, pp. 299–309. Academic Press, New York (1980)

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