A new martingale approach to Kalman Filtering

Bagchi, Arunabha (1976) A new martingale approach to Kalman Filtering. Information Sciences, 10 (2). pp. 187-192. ISSN 0020-0255

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Abstract:	A new derivation of continuous-time Kalman Filter equations is presented. The underlying idea has been previously used to derive the smoothing equations. A unified approach to filtering and smoothing problems has thus been achieved.
Item Type:	Article
Copyright:	© 1976 Elsevier Science
Faculty:	Electrical Engineering, Mathematics and Computer Science (EEMCS)
Research Group:	Stochastic Systems and Signals (SST)
Link to this item:	http://purl.utwente.nl/publications/68066
Official URL:	http://dx.doi.org/10.1016/0020-0255(76)90039-6
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