Title :
On filtering problems over Ito-Volterra observations
Author :
Basin, Michael V. ; Llanes, Mario A Villanueva
Author_Institution :
Dept. of Electr. & Mech. Eng., Autonomous Univ. of Nuevo Leon, Mexico
Abstract :
In this paper, the Kalman-Bucy filter is designed for an Ito-Volterra process over Ito-Volterra observations that cannot be reduced to the case of a differential observation equation. The Kalman-Bucy filter is then designed for an Ito-Volterra process over discontinuous Ito-Volterra observations
Keywords :
Kalman filters; Volterra equations; differential equations; filtering theory; matrix algebra; probability; state estimation; Ito-Volterra observations; Kalman-Bucy filter; differential equation; filtering; matrix algebra; probability; state estimation; Differential equations; Filtering; Filters; Mechanical engineering; Optimal control; Random processes; State estimation;
Conference_Titel :
American Control Conference, 1999. Proceedings of the 1999
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4990-3
DOI :
10.1109/ACC.1999.782397
