• DocumentCode
    794204
  • Title

    Nonlinear filtering: The exact dynamical equations satisfied by the conditional mode

  • Author

    Kushner, Harold J.

  • Author_Institution
    Brown University, Providence, RI, USA
  • Volume
    12
  • Issue
    3
  • fYear
    1967
  • fDate
    6/1/1967 12:00:00 AM
  • Firstpage
    262
  • Lastpage
    267
  • Abstract
    The signal xtis a stochastic process satisfying the stochastic differential equation dx = f(x)dt+dz . Observations \\dot{y} =g(x) +\\xi are taken, where \\xi is white noise. The exact dynamical equation for the mode of the conditional density of xtis derived and discussed.
  • Keywords
    Nonlinear filtering; Stochastic processes; Calculus; Differential equations; Filtering; Kalman filters; Nonlinear equations; Nonlinear filters; Signal processing; Stochastic processes; Stochastic resonance; White noise;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1967.1098582
  • Filename
    1098582
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=794204