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Teoriya Veroyatnostei i ee Primeneniya, 1975, Volume 20, Issue 2, Pages 292–308 (Mi tvp3072)  
Gaussian martingales and a generalization of the Kalman–Bucy filter

R. Sh. Liptser

Moscow
Full-text PDF (798 kB) (1)
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
English version:
Theory of Probability and its Applications, 1976, Volume 20, Issue 2, Pages 285–301
DOI: https://doi.org/10.1137/1120034
Bibliographic databases:
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Lip75}
\by R.~Sh.~Liptser
\paper Gaussian martingales and a~generalization of the Kalman--Bucy filter
\jour Teor. Veroyatnost. i Primenen.
\yr 1975
\vol 20
\issue 2
\pages 292--308
\mathnet{http://mi.mathnet.ru/tvp3072}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=380966}
\zmath{https://zbmath.org/?q=an:0341.60030}
\transl
\jour Theory Probab. Appl.
\yr 1976
\vol 20
\issue 2
\pages 285--301
\crossref{https://doi.org/10.1137/1120034}
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  • https://www.mathnet.ru/eng/tvp/v20/i2/p292
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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