Extending the theory of Liptser-Shiryaev filters

DOI10.1134/S0005117920040037zbMath1455.93198OpenAlexW3018374252MaRDI QIDQ827963

E. R. Korepanov, I. N. Sinitsyn, V. I. Sinitsyn

Publication date: 14 January 2021

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117920040037

zbMATH Keywords

stochastic systemconditionally optimal Pugachev filteringgeneralized Kalman-Bucy filterLiptser-Shiryaev filtersnormal (Gaussian) filtersuboptimal filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Related Items (1)

Linear Kalman-Bucy filter with vector autoregressive signal and noise

Cites Work

• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
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