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Approximation of Nonlinear Filters for Markov Systems with Delayed Observations

✍ Scribed by Calzolari, Antonella; Florchinger, Patrick; Nappo, Giovanna

Book ID: 118204676
Publisher: Society for Industrial and Applied Mathematics
Year: 2006
Tongue: English
Weight: 370 KB
Volume: 45
Category: Article
ISSN: 0363-0129
DOI: 10.1137/050623504

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## Abstract In this paper, the optimal filtering problem for linear systems with state and observation delays is treated proceeding from the general expression for the stochastic Ito differential of the optimal estimate, error variance, and various error covariances. As a result, the optimal estima