We consider the explicit solution of Duncan-Mortensen-Zakai (DMZ) equation for the finite-dimensional filtering system. We show that under certain conditions, the nonlinear filtering system can be solved explicitly with an arbitrary initial condition by solving a system of ordinary differential equations and a Kolmogorov-type equation. Let n be the dimension of state space. We show that we need only n sufficient statistics in order to solve the DMZ equation.
Finite-dimensional filters with nonlinear drift. XV. New direct method for construction of universal finite-dimensional filter
IEEE Transactions on Aerospace and Electronic Systems ; 38 , 1 ; 50-57
2002-01-01
221669 byte
Article (Journal)
Electronic Resource
English
Comments on "Finite-Dimensional Filters With Nonlinear Drift"
Online Contents | 1998
|Addendum To "Finite-Dimensional Filters With Nonlinear Drift": A Response To F. Daum's Comments
IEEE | 1998
|Addendum to "Finite-Dimensional Filters with Nonlinear Drift": A Response to F. Daum's Comments
Online Contents | 1998
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