On filtering problems over Ito-Volterra observations

Proceedings of the 1999 American Control Conference (Cat. No. 99CH36251) Pub Date : 1999-07-01 DOI:10.1109/ACC.1999.782397

M. Basin, M.A. Villanueva Llanes

引用次数: 8

Abstract

In this paper, the Kalman-Bucy filter is designed for an Ito-Volterra process over Ito-Volterra observations that cannot be reduced to the case of a differential observation equation. The Kalman-Bucy filter is then designed for an Ito-Volterra process over discontinuous Ito-Volterra observations.

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关于Ito-Volterra观测的滤波问题

在本文中，Kalman-Bucy滤波器设计用于不能简化为微分观测方程的伊托-沃尔泰拉观测上的伊托-沃尔泰拉过程。然后设计了Kalman-Bucy滤波器用于不连续的Ito-Volterra观测上的Ito-Volterra过程。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Proceedings of the 1999 American Control Conference (Cat. No. 99CH36251)

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