Title :
Recent advance in computing Kolmogorov equation arising from nonlinear filtering
Author :
Yau, Stephen S T ; Wu, Xi ; Lin, Ke-Pao
Author_Institution :
Dept. of Math. Stat. & Comput. Sci., Illinois Univ., Chicago, IL, USA
Abstract :
It is well known that the Kolmogorov equation is a fundamental equation in applied science, especially in electrical engineering. We present two closed form solutions to the Kolmogorov equation which plays an essential role in nonlinear filtering
Keywords :
filtering theory; nonlinear filters; partial differential equations; Kolmogorov equation; closed form solutions; nonlinear filtering; Closed-form solution; Differential equations; Filtering; Mathematics; Nonlinear equations; Nonlinear filters; Partial differential equations; Polynomials; Robustness; Statistics;
Conference_Titel :
Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
Conference_Location :
Tampa, FL
Print_ISBN :
0-7803-4394-8
DOI :
10.1109/CDC.1998.757918
