Estimation and control for linear, partially observable systems with non- Gaussian initial distribution

DOI10.1016/0304-4149(83)90002-9zbMath0501.93063OpenAlexW1990926314MaRDI QIDQ1172611

Ioannis Karatzas, Václav E. Beneš

Publication date: 1983

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(83)90002-9

zbMATH Keywords

conditional distributionZakai's equationgeneralization of Kalman filterslinear partially observed systemsnon-Gaussian initial conditions

Mathematics Subject Classification ID

Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Characterization and structure theory of statistical distributions (62E10)

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