INVARIANT IMBEDDING AND NONLINEAR FILTERING WITH WHITE NOISE IN THE PLANT,

摘要

The filtering problem of a noisy nonlinear signal process described by a vector stochastic differential equation and a noisy nonlinear observation process of which the statistics of the noise are unknown are considered. The least squares filtering equations are obtained through the idea of invariant imbedding and the application of stochastic differential calculus. (Author)