Integration of the linear filtering problem by means of canonical transformations

DOI10.1016/0167-6911(83)90017-8zbMath0514.93064OpenAlexW2048145560MaRDI QIDQ1051606

Henryk Gzyl

Publication date: 1983

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/6638

zbMATH Keywords

Schrödinger equationDuncan-Mortensen-Zakai equationlinear filteringcanonical transformationsequation for the unnormalized conditional density

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Transformations (93B17) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic mechanics (including stochastic electrodynamics) (81P20)

Cites Work

• Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
• Exponential stability in discrete-time filtering for non-ergodic signal.
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