A new martingale approach to Kalman Filtering

Arunabha Bagchi

doi:10.1016/0020-0255(76)90039-6

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 language	Undefined
Pages (from-to)	187-192
Journal	Information sciences
Volume	10
Issue number	2
DOIs	https://doi.org/10.1016/0020-0255(76)90039-6
Publication status	Published - 1976

Keywords

IR-68066

Access to Document

10.1016/0020-0255(76)90039-6

Bagchi76new

Cite this

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title = "A new martingale approach to Kalman Filtering",

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.",

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year = "1976",

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volume = "10",

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AU - Bagchi, Arunabha

PY - 1976

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DO - 10.1016/0020-0255(76)90039-6

M3 - Article

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VL - 10

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EP - 192

JO - Information sciences

JF - Information sciences

IS - 2

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