关于扩散和非线性滤波问题的变换理论

The 23rd IEEE Conference on Decision and Control Pub Date : 1984-12-01 DOI:10.1109/CDC.1984.272244

T. Dyson, S. Schwartz

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摘要

给出了由随机微分方程(s.d.e)定义的非线性扩散的精确递归滤波解，并给出了相关(非归一化)条件密度(UCD)的精确递归滤波解。扩散的特征是s.d.e.漂移和扩散系数对允许C¿转换为具有线性动力学的等效扩散的条件。

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On a transformation theory for diffusions and nonlinear filtering problems

Nonlinear diffusions defined by stochastic differential equations (s.d.e.) which admit exact recursive filtering solutions for the associated (unnormalized) conditional density (UCD) are presented. The diffusions are characterized by conditions on the s.d.e. drift and diffusion coefficient pair which admit a C¿ transformation to an equivalent diffusion having linear dynamics.

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The 23rd IEEE Conference on Decision and Control

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