DocumentCode
3266032
Title
Generalized Kalman filter for discrete-continuous Markov processes
Author
Rubinovich, E.
Author_Institution
Inst. of Control Sci., Acad. of Sci., Moscow, Russia
Volume
4
fYear
2002
fDate
10-13 Dec. 2002
Firstpage
3811
Abstract
This paper deals with the filtering problem for the partially observable vector-processes in the case when unobservable process is excited by a Markov process with a finite state space, and the process of observations is a semimartingale with non-Gaussian martingale part. All the processes are described by Ito´s stochastic differential equations with measure.
Keywords
Gaussian processes; Kalman filters; Markov processes; differential equations; filtering theory; observability; state-space methods; Ito stochastic differential equations; Kalman filter; discrete-continuous Markov processes; filtering problem; finite state space; nonGaussian martingale part; partially observable vector processes; semimartingale; unobservable process; Equations; Extraterrestrial measurements; Filtering; Gaussian processes; Indium tin oxide; Markov processes; Nonlinear filters; Q measurement; State-space methods; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2002, Proceedings of the 41st IEEE Conference on
ISSN
0191-2216
Print_ISBN
0-7803-7516-5
Type
conf
DOI
10.1109/CDC.2002.1184958
Filename
1184958
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