The explicit solution of the unnormalized conditional probability equation of a one-dimensional linear system

DOI10.1016/0167-6911(83)90033-6zbMath0511.93061OpenAlexW2094114678MaRDI QIDQ1839232

Xi-Ren Cao

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1016/0167-6911(83)90033-6

zbMATH Keywords

Kalman filterexplicit solutionexponential of operatorsunnormalized conditional density function

Mathematics Subject Classification ID

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) Structure theory for Lie algebras and superalgebras (17B05) Stochastic systems in control theory (general) (93E03)

Cites Work

• Stochastic processes and filtering theory
• On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• On Global Representations of the Solutions of Linear Differential Equations as a Product of Exponentials
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