Nonlinear filtering: The exact dynamical equations satisfied by the conditional mode
- 1 June 1967
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 12 (3), 262-267
- https://doi.org/10.1109/tac.1967.1098582
Abstract
The signal xtis a stochastic process satisfying the stochastic differential equationdx = f(x)dt+dz. Observations\dot{y} =g(x) +\xiare taken, where\xiis white noise. The exact dynamical equation for the mode of the conditional density of xtis derived and discussed.Keywords
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