On Optimum Filtering for a Class of Linear Distributed-Parameter Systems
Keyword(s):
Filtering equations are derived for processes described by linear partial differential equations with known homogeneous boundary conditions. Both discrete-time and continuous-time measurements are treated. As in the case of linear systems with time delays, the filtering and variance equations become partial differential equations for processes with continuous measurements. A numerical solution to the nonlinear variance equation is obtained for a particular diffusion process.
1958 ◽
Vol 11
(1)
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pp. 145-151
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1961 ◽
Vol 14
(3)
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pp. 171-186
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1994 ◽
Vol 2
(1)
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2017 ◽
Vol 348
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pp. 385-400
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