The Kalman-Bucy filter for linear stochastic dynamic systems with discontinuous trajectories

DOI10.1023/A:1024739206442zbMath1140.93481OpenAlexW1505043672MaRDI QIDQ2487880

V. Yu. Bereza, V. K. Yasinskij

Publication date: 12 August 2005

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1024739206442

zbMATH Keywords

stochastic differential equationsstochastic processlinear filteringIto-Skorokhod equations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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