On non-linear filtering problems for discrete time stochastic processes

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Author(s)

Abstract

In this paper, we shall develop the linear causal analysis for the system consisting of two flows in a real inner product space and give an algorithm for calculating the non-linear filter for a discrete stochastic system which is given by two discrete time stochastic processes, to be called a signal process and an observation process, based upon the theory of KM_2O-Langevin equations.

Journal

  • Journal of the Mathematical Society of Japan

    Journal of the Mathematical Society of Japan 57(4), 1067-1076, 2005-10-01

    The Mathematical Society of Japan

References:  18

Codes

  • NII Article ID (NAID)
    10017178090
  • NII NACSIS-CAT ID (NCID)
    AA0070177X
  • Text Lang
    ENG
  • Article Type
    ART
  • ISSN
    00255645
  • NDL Article ID
    7493112
  • NDL Source Classification
    ZM31(科学技術--数学)
  • NDL Call No.
    Z53-A209
  • Data Source
    CJP  NDL  J-STAGE 
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