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Teoriya Veroyatnostei i ee Primeneniya, 1975, Volume 20, Issue 2, Pages 292–308
(Mi tvp3072)
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Gaussian martingales and a generalization of the Kalman–Bucy filter
R. Sh. Liptser Moscow
Abstract:
The paper gives a solution of the Kalman–Bucy filtering problem in the case when the unobserved process and the observations are determined by general Gaussian processes with independent increments.
Received: 18.03.1974
Citation:
R. Sh. Liptser, “Gaussian martingales and a generalization of the Kalman–Bucy filter”, Teor. Veroyatnost. i Primenen., 20:2 (1975), 292–308; Theory Probab. Appl., 20:2 (1976), 285–301
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https://www.mathnet.ru/eng/tvp3072 https://www.mathnet.ru/eng/tvp/v20/i2/p292
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Abstract page: | 297 | Full-text PDF : | 156 |
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