A way to build up the optimal linear filter for a bilinear stochastic differential system is here presented. The method uses a new representation of the vector bilinear noisy terms as wide-sense Wiener processes. The considered system evolves in a finite-dimensional vector space. The optimal linear filter has the structure a finite-dimensional Kalman-Bucy scheme.
Optimal linear finite-dimensional filtering for vector bilinear stochastic differential systems
GERMANI, Alfredo
1998-01-01
Abstract
A way to build up the optimal linear filter for a bilinear stochastic differential system is here presented. The method uses a new representation of the vector bilinear noisy terms as wide-sense Wiener processes. The considered system evolves in a finite-dimensional vector space. The optimal linear filter has the structure a finite-dimensional Kalman-Bucy scheme.File in questo prodotto:
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