A new martingale approach to Kalman Filtering

Arunabha Bagchi

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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.
    Original languageUndefined
    Pages (from-to)187-192
    JournalInformation sciences
    Volume10
    Issue number2
    DOIs
    Publication statusPublished - 1976

    Keywords

    • IR-68066

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