White noise theory of robust nonlinear filtering with correlated state and observation noises

Arunabha Bagchi, Rajeeva Karandikar

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    Abstract

    In the existing `direct¿ white noise theory of nonlinear filtering, the state process is still modelled as a Markov process satisfying an Itô stochastic differential equation, while a `finitely additive¿ white noise is used to model the observation noise. We remove this asymmetry by modelling the state process as the solution of a (stochastic) differential equation with a `finitely additive¿ white noise as the input. This enables us to introduce correlation between the state and observation noises, and to obtain robust nonlinear filtering equations in the correlated noise case.
    Original languageUndefined
    Pages (from-to)137-148
    Number of pages12
    JournalSystems and control letters
    Volume23
    Issue number23
    DOIs
    Publication statusPublished - 1994

    Keywords

    • METIS-140810
    • IR-30170

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