A new martingale approach to Kalman filtering

DOI10.1016/S0020-0255(76)90794-5zbMath0334.93044OpenAlexW2061160525MaRDI QIDQ1229186

Arunabha Bagchi

Publication date: 1976

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0020-0255(76)90794-5

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (1)

A martingale approach to state estimation in delay-differential systems

Cites Work

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• Stochastic differential equations for the non linear filtering problem
• A Martingale Approach to Continuous-Time Linear Smoothing
• A Martingale Approach to Linear Recursive State Estimation
• A Note on Least Squares Estimation by the Innovations Method

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