Ellipsoidal suboptimal filters for nonlinear stochastic systems on manifolds

For nonlinear differential stochastic systems on manifolds (MStS) with Wiener and Poisson noises, the synthesis theory of ellipsoidal suboptimal filters based on ellipsoidal approximation and ellipsoidal linearization methods is developed. Special attention is paid to MStS with additive non-Gaussian noises based on ellipsoidal linearization method. The algorithms are the basis of the experimental software tool «StS-Filter» (version 2016). Accuracy and sensitivity equations are presented. Some generalizations are mentioned.