Despite its usefulness, the Kalman-Bucy filter is not perfect. One of its weaknesses is that it needs a Gaussian assumption on the initial data. Recently Yau and Yau introduced a new direct method to solve the estimation problem for linear filtering with non-Gaussian initial data. They factored the problem into two parts: (1) the on-line solution of a finite system of ordinary differential equations (ODEs), and (2) the off-line calculation of the Kolmogorov equation. Here we derive an explicit closed-form solution of the Kolmogorov equation. We also give some properties and conduct a numerical study of the solution.


    Zugriff

    Zugriff prüfen

    Verfügbarkeit in meiner Bibliothek prüfen

    Bestellung bei Subito €


    Exportieren, teilen und zitieren



    Titel :

    Finite-dimensional filters with nonlinear drift. V: solution to Kolmogorov equation arising from linear filtering with non-Gaussian initial condition


    Beteiligte:
    Zhigang Liang, (Autor:in) / Yau, S.S.-T. (Autor:in) / Yau, S.T. (Autor:in)


    Erscheinungsdatum :

    1997-10-01


    Format / Umfang :

    1868337 byte




    Medientyp :

    Aufsatz (Zeitschrift)


    Format :

    Elektronische Ressource


    Sprache :

    Englisch