Digital simulation of Kalman–Bucy filter and an optimal filter with discrete input data

The paper is concerned with digital modeling of the Kalman–Bucy filter for continuous systems when the incoming information is processed and used at discrete times. In numerical integration of the filter equations recurrent equations are used for optimal estimations of the system states on the knowledge of digital observations. Advice is given on choice of the quantization step in digital modeling. Some results of numerical experiments are presented.