This article is cited in 1 paper

Methods of Signal Processing

Optimum Filtering for the Case of Indirect Observation of a Diffusion Process with a Delayed Argument

N. K. Kul'man, V. M. Khametov


Abstract: The article examines the problem of estimating a continuous Markov process for the case in which the observed process depends both on the process being estimated and on a delayed copy of it. Stochastic equations in the a posteriori probabilities are obtained. The case of Gaussian a posteriori probabilities is considered, and equations are given for the estimates and a posteriori variances.

UDC: 621.391.1:519.27

Received: 15.06.1976
Revised: 14.09.1977

 English version: Problems of Information Transmission, 1978, 14:3, 197–204

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