The continuous kalman filter as the limit of the discrete kalman filter

DOI10.1080/07362999908809638zbMath0936.62104OpenAlexW1966257967MaRDI QIDQ4702159

Scott Shald

Publication date: 18 May 2000

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

Full work available at URL: https://doi.org/10.1080/07362999908809638

zbMATH Keywords

discretizationapproximationdiscrete filterscontinuous Kalman filtercontinuous filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• An exact equivalence between the discrete- and continuous-time formulations of the Kalman filter
• Stochastic processes and filtering theory
• On exact filters for continuous signals with discrete observations
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