A martingale approach to state estimation in delay-differential systems

Arunabha Bagchi

    Research output: Contribution to journalArticleAcademic

    18 Citations (Scopus)
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    Abstract

    A rigorous derivation of filtering arid smoothing equations for linear stochastic systems with time delay is presented. The estimation equations are obtained in term of the innovation process of the problem under consideration. The method used is based on a representation theorem on Gaussian martingales.
    Original languageEnglish
    Pages (from-to)195-210
    JournalJournal of mathematical analysis and applications
    Volume56
    Issue number1
    DOIs
    Publication statusPublished - 1976

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