Title :
Exact solution to the Zakai equation for certain diffusions
Author_Institution :
Raytheon Company, Wayland, MA
Abstract :
An exact expression for the unnormalized conditional density is derived for certain diffusions with nonlinear drift terms. This corresponds to the exact solution of the Zakai equation for certain nonlinear estimation problems. This represents a generalization of both the Kalman-Bucy filter and the Bene?? filter within a unified framework. Moreover, the new filter can handle a large class of nonlinear estimation problems, including diffusions with the generalized Maxwell-Boltzmann distribution, that cannot be accommodated by either the Kalman-Bucy filter or the Bene?? filter.
Keywords :
Equations; Filters; Radio control; Tellurium;
Conference_Titel :
Decision and Control, 1985 24th IEEE Conference on
Conference_Location :
Fort Lauderdale, FL, USA
DOI :
10.1109/CDC.1985.268500